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

DOI10.1016/J.INSMATHECO.2009.12.004MaRDI QIDQ659239zbMATH OpenOpenAlexFDO

Authors 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

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)

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Cites work

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

Cited in

(18)

• On the threshold dividend strategy for a generalized jump-diffusion risk model
• An ODE approach for the expected discounted penalty at ruin in jump-diffusion model
• Generalized expected discounted penalty function at general drawdown for Lévy risk processes
• Computing the finite-time expected discounted penalty function for a family of 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
• Fourier-cosine method for finite-time Gerber-Shiu functions
• Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model
• An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model
• A ruin model with compound Poisson income and dependence between claim sizes and claim intervals
• Fair valuation of life insurance contracts under a two-sided jump diffusion model
• 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

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