Jump diffusion processes and their applications in insurance and finance
DOI10.1016/J.INSMATHECO.2006.09.006zbMATH Open1119.91054OpenAlexW2016375810MaRDI QIDQ997083FDOQ997083
Authors: Ji-Wook Jang 
Publication date: 19 July 2007
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.09.006
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Cites Work
- A theory of the term structure of interest rates
- Financial Modelling with Jump Processes
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- Stochastic Volatility for Lévy Processes
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- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Ruin probabilities and overshoots for general Lévy insurance risk processes
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- The total claims distribution under inflationary conditions
- Moments of compound renewal sums with discounted claims
- A risk model driven by Lévy processes
- Ruin theory with compounding assets -- a survey
- Classical risk theory in an economic environment
- Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform
Cited In (26)
- Explicit solution processes for nonlinear jump-diffusion equations
- Quantile regression estimation for discretely observed SDE models with compound Poisson jumps
- Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models
- Dyson type formula for pure jump Lévy processes with some applications to finance
- Point Processes and Jump Diffusions
- A PDE approach to jump-diffusions
- Absolutely Continuous Laws of Jump-Diffusions in Finite and Infinite Dimensions with Applications to Mathematical Finance
- A regime-switching model with jumps and its application to bond pricing and insurance
- Asian options, jump-diffusion processes on a lattice, and Vandermonde matrices
- Precautionary measures for credit risk management in jump models
- Jump-Diffusion Models Driven by Lévy Processes
- Strategies for dividend distribution: a review
- An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
- Valuation of discrete dynamic fund protection under Lévy processes
- Time-consistent actuarial valuations
- Feynman-Kac for functional jump diffusions with an application to credit value adjustment
- Gerber-Shiu analysis with a generalized penalty function.
- Review of statistical actuarial risk modelling
- Jump diffusion transition intensities in life insurance and disability annuity
- A Cox model for gradually disappearing events
- Moment generating functions of compound renewal sums with discounted claims
- Catastrophe insurance derivatives pricing using a Cox process with jump diffusion CIR intensity
- The distribution of discounted compound PH-renewal processes
- Parametric and nonparametric models and methods in financial econometrics
- Title not available (Why is that?)
- Vasicek model with mixed-exponential jumps and its applications in finance and insurance
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