Stochastic Analysis and Applications
نویسندگان
چکیده
In this article, we study the discounted penalty at ruin in a perturbed compound Poisson model with two-sided jumps. We show that it satisfies a renewal equation under suitable conditions and consider an application of this renewal equation to study some perpetual American options. In particular, our renewal equation gives a generalization of the renewal equation in Gerber and Landry [2] where only downward jumps are allowed.
منابع مشابه
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