Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance

DOI10.1016/j.insmatheco.2009.12.004zbMath1231.91162MaRDI QIDQ659239

Yichun Chi

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.2009.12.004

zbMATH Keywords

Wiener-Hopf factorization; Laplace distribution; barrier option; discounted penalty function; perturbed compound Poisson risk process; optimal capital structure; perpetual american put option

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

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Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions, The first passage time problem for mixed-exponential jump processes with applications in insurance and finance, Exit problems for jump processes having double-sided jumps with rational Laplace transforms, Numerical method for a Markov-modulated risk model with two-sided jumps, On the threshold dividend strategy for a generalized jump-diffusion risk model, Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model, A ruin model with compound Poisson income and dependence between claim sizes and claim intervals, The dependence of assets and default threshold with thinning-dependence structure, Lévy risk model with two-sided jumps and a barrier dividend strategy, The Gerber-Shiu discounted penalty function: a review from practical perspectives, Fair Valuation of Life Insurance Contracts Under a Two-Sided Jump Diffusion Model

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