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

DOI10.1016/J.INSMATHECO.2009.12.004zbMATH Open1231.91162OpenAlexW3124494975MaRDI QIDQ659239FDOQ659239

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

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zbMATH Keywords

Laplace distributionbarrier optionWiener-Hopf factorizationdiscounted penalty functionoptimal capital structureperpetual american put optionperturbed compound Poisson risk process

Mathematics Subject Classification ID

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

Cites Work

• A Jump-Diffusion Model for Option Pricing
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• Introductory lectures on fluctuations of Lévy processes with applications.
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• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• Russian and American put options under exponential phase-type Lévy models.
• On the Time Value of Ruin
• Risk theory for the compound Poisson process that is perturbed by diffusion
• First passage times of a jump diffusion process
• Ruin in the perturbed compound Poisson risk process under interest force
• Ruin Probabilities for Levy Processes with Mixed-Exponential Negative Jumps
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• An ODE approach for the expected discounted penalty at ruin in jump-diffusion model
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Optimal capital structure and endogenous default
• Optimal stopping and perpetual options for Lévy processes
• Analysis of a defective renewal equation arising in ruin theory
• Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels
• Fluctuation theory in continuous time
• The expected value of the time of ruin and the moments of the discounted deficit at ruin in the perturbed classical risk process

Cited In (17)

• On the threshold dividend strategy for a generalized jump-diffusion risk model
• Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions
• An ODE approach for the expected discounted penalty at ruin in jump-diffusion model
• Computing the finite-time expected discounted penalty function for a family of Lévy risk processes
• Generalized expected discounted penalty function at general drawdown for Lévy risk processes
• On an insurance ruin model with a causal dependence structure and perturbation
• The Gerber-shiu Expected Discounted Penalty-reward Function under an Affine Jump-diffusion Model
• Exit problems for jump processes having double-sided jumps with rational Laplace transforms
• The first passage time problem for mixed-exponential jump processes with applications in insurance and finance
• The dependence of assets and default threshold with thinning-dependence structure
• 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
• Numerical method for a Markov-modulated risk model with two-sided jumps
• The expected discounted penalty function in the generalized Erlang\((n)\) risk model with two-sided jumps and a constant dividend barrier
• 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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