Jump diffusion processes and their applications in insurance and finance
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Publication:997083
DOI10.1016/j.insmatheco.2006.09.006zbMath1119.91054OpenAlexW2016375810MaRDI QIDQ997083
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
jump diffusion processesaggregate accumulated claimsjoint Laplace transformnon-defaultable zero-coupon bond
Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (17)
CATASTROPHE INSURANCE DERIVATIVES PRICING USING A COX PROCESS WITH JUMP DIFFUSION CIR INTENSITY ⋮ Asian Options, Jump-Diffusion Processes on a Lattice, and Vandermonde Matrices ⋮ Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models ⋮ A Cox model for gradually disappearing events ⋮ Time-consistent actuarial valuations ⋮ The distribution of discounted compound PH-renewal processes ⋮ Quantile regression estimation for discretely observed SDE models with compound Poisson jumps ⋮ Jump diffusion transition intensities in life insurance and disability annuity ⋮ Precautionary measures for credit risk management in jump models ⋮ Parametric and nonparametric models and methods in financial econometrics ⋮ An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models ⋮ Explicit Solution Processes for Nonlinear Jump-Diffusion Equations ⋮ Moment generating functions of compound renewal sums with discounted claims ⋮ Moment generating functions of compound renewal sums with discounted claims ⋮ Review of statistical actuarial risk modelling ⋮ Valuation of Discrete Dynamic Fund Protection Under Lévy Processes ⋮ Strategies for Dividend Distribution: A Review
Cites Work
- Classical risk theory in an economic environment
- Ruin theory with compounding assets -- a survey
- Ruin probabilities and overshoots for general Lévy insurance risk processes
- Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform
- A Theory of the Term Structure of Interest Rates
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- The total claims distribution under inflationary conditions
- Stochastic Volatility for Lévy Processes
- Financial Modelling with Jump Processes
- A risk model driven by Lévy processes
- Moments of compound renewal sums with discounted claims
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