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On the discounted penalty at ruin in a jump-diffusion and the perpetual put option

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  • Gerber, Hans U.
  • Landry, Bruno

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  • Gerber, Hans U. & Landry, Bruno, 1998. "On the discounted penalty at ruin in a jump-diffusion and the perpetual put option," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 263-276, July.
    • Handle: RePEc:eee:insuma:v:22:y:1998:i:3:p:263-276
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    References listed on IDEAS

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    1. Dickson, David C. M., 1992. "On the distribution of the surplus prior to ruin," Insurance: Mathematics and Economics, Elsevier, vol. 11(3), pages 191-207, October.
    2. Picard, Philippe, 1994. "On some measures of the severity of ruin in the classical Poisson model," Insurance: Mathematics and Economics, Elsevier, vol. 14(2), pages 107-115, May.
    3. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    4. Hans Gerber & Elias Shiu, 1998. "On the Time Value of Ruin," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(1), pages 48-72.
    5. Egidio dos Reis, Alfredo, 1993. "How long is the surplus below zero?," Insurance: Mathematics and Economics, Elsevier, vol. 12(1), pages 23-38, February.
    6. Dickson, David C. M., 1993. "On the distribution of the claim causing ruin," Insurance: Mathematics and Economics, Elsevier, vol. 12(2), pages 143-154, April.
    7. Gerber, Hans U. & Goovaerts, Marc J. & Kaas, Rob, 1987. "On the Probability and Severity of Ruin," ASTIN Bulletin, Cambridge University Press, vol. 17(2), pages 151-163, November.
    8. Dufresne, Francois & Gerber, Hans U., 1988. "The surpluses immediately before and at ruin, and the amount of the claim causing ruin," Insurance: Mathematics and Economics, Elsevier, vol. 7(3), pages 193-199, October.
    9. Dickson, David C. M. & Waters, Howard R., 1992. "The Probability and Severity of Ruin in Finite and Infinite Time," ASTIN Bulletin, Cambridge University Press, vol. 22(2), pages 177-190, November.
    10. Dufresne, Francois & Gerber, Hans U., 1991. "Risk theory for the compound Poisson process that is perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 10(1), pages 51-59, March.
    11. Gerber, Hans U. & Shiu, Elias S. W., 1997. "The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 129-137, November.
    12. Hans Gerber & Elias Shiu, 1998. "Pricing Perpetual Options for Jump Processes," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(3), pages 101-107.
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