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- W2049452012 abstract "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." @default.
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- W2049452012 date "2009-08-28" @default.
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- W2049452012 title "A Generalized Renewal Equation for Perturbed Compound Poisson Processes with Two-Sided Jumps" @default.
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- W2049452012 doi "https://doi.org/10.1080/07362990903136421" @default.
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