From ruin theory to pricing reset guarantees and perpetual put options

DOI10.1016/S0167-6687(98)00033-XzbMath0939.91065MaRDI QIDQ1293806

Hans U. Gerber, Elias S. W. Shiu

Publication date: 10 July 2000

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

Laplace transformsmartingalesruin probabilitysurplus processLundberg's fundamental equationcollective risk theoryoptional sampling theorem

Mathematics Subject Classification ID

Related Items (27)

Dynamic Fund Protection for Property Markets ⋮ Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus ⋮ Lookback options and dynamic fund protection under multiscale stochastic volatility ⋮ Pricing dynamic fund protections with regime switching ⋮ On the expected discounted penalty function for risk process with tax ⋮ Valuation of segregated funds: shout options with maturity extensions. ⋮ A discussion on Buhlmann's criterion for asset valuation. ⋮ The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion. ⋮ Analysis of a defective renewal equation arising in ruin theory ⋮ On a generalization of the Gerber-Shiu function to path-dependent penalties ⋮ Pricing maturity guarantee with dynamic withdrawal benefit ⋮ Pricing dynamic fund protections for a hyperexponential jump diffusion process ⋮ Pricing Discrete Dynamic Fund Protections ⋮ Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level ⋮ Pricing Dynamic Investment Fund Protection ⋮ Dynamic Fund Protection ⋮ Estimation of the expected discounted penalty function for Lévy insurance risks ⋮ The reset decision for segregated fund maturity guarantees ⋮ Pricing a chained dynamic fund protection under Vasicek interest rate model with stochastic barrier ⋮ The compound Poisson process perturbed by a diffusion with a threshold dividend strategy ⋮ Review of statistical actuarial risk modelling ⋮ On the discounted penalty at ruin in a jump-diffusion and the perpetual put option ⋮ A Risk Model Based on Markov Chains with Marked Transitions ⋮ Discounted probabilities and ruin theory in the compound binomial model ⋮ The moments of the time of ruin, the surplus before ruin, and the deficit at ruin ⋮ Non-parametric estimation of the Gerber–Shiu function for the Wiener–Poisson risk model ⋮ Valuation of Discrete Dynamic Fund Protection Under Lévy Processes

Cites Work

• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• On the Time Value of Ruin
• Pricing Perpetual Options for Jump Processes
• Unnamed Item

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