An insurance risk model with stochastic volatility
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Publication:659182
DOI10.1016/j.insmatheco.2009.03.006zbMath1231.91163OpenAlexW3124582671MaRDI QIDQ659182
Sebastian Jaimungal, Yichun Chi, X. Sheldon Lin
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.03.006
stochastic volatilityphase-type distributionOrnstein-Uhlenbeck processintegro-differential equationsingular perturbation theorydiscounted penalty functionperturbed compound Poisson risk process
Integro-ordinary differential equations (45J05) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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