An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model

Yu-Ting Chen, Cheng Few Lee and Yuan-Chung Sheu ()

Finance and Stochastics, 2007, vol. 11, issue 3, 323-355

Keywords: Jump-diffusion; Expected discounted penalty; Phase-type distribution; Optimal capital structure; G12; C60; C61; C65; 60J75; 91B28; 91B30; 91B70 (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s00780-007-0045-5

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