Pages that link to "Item:Q1265935"

The following pages link to On the discounted penalty at ruin in a jump-diffusion and the perpetual put option (Q1265935):

Displaying 50 items.

• Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion (Q267897) (← links)
• The Markov additive risk process under an Erlangized dividend barrier strategy (Q292342) (← links)
• On a generalized Gerber-Shiu function in a compound Poisson model perturbed by diffusion (Q318682) (← links)
• A hyper-Erlang jump-diffusion process and applications in finance (Q328100) (← links)
• Ruin probability in compound Poisson process with investment (Q442855) (← links)
• On a generalization of the expected discounted penalty function to include deficits at and beyond ruin (Q487623) (← links)
• On a perturbed Sparre Andersen risk model with dividend barrier and dependence (Q488607) (← links)
• Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times (Q609205) (← links)
• The maximum surplus distribution before ruin in an Erlang(\(n\)) risk process perturbed by diffusion (Q644634) (← links)
• On the Gerber-Shiu function and change of measure (Q659175) (← links)
• An insurance risk model with stochastic volatility (Q659182) (← links)
• A note on scale functions and the time value of ruin for Lévy insurance risk processes (Q659186) (← links)
• On a generalization of the Gerber-Shiu function to path-dependent penalties (Q659187) (← links)
• Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance (Q659239) (← links)
• The expected value of the time of ruin and the moments of the discounted deficit at ruin in the perturbed classical risk process (Q817285) (← links)
• On a perturbed Sparre Andersen risk model with multi-layer dividend strategy (Q843170) (← links)
• A note on the perturbed compound Poisson risk model with a threshold dividend strategy (Q844049) (← links)
• The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy (Q847166) (← links)
• Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion (Q882477) (← links)
• Weak convergence approach to compound Poisson risk processes perturbed by diffusion (Q882867) (← links)
• Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications (Q893122) (← links)
• Pricing dynamic fund protections with regime switching (Q896790) (← links)
• A hyper-exponential jump-diffusion model under the barrier dividend strategy (Q902399) (← links)
• The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest (Q939327) (← links)
• The perturbed Sparre Andersen model with a threshold dividend strategy (Q939541) (← links)
• The use of vector-valued martingales in risk theory (Q949432) (← links)
• On the expected discounted penalty function for a perturbed risk process driven by a subordinator (Q995506) (← links)
• An ODE approach for the expected discounted penalty at ruin in jump-diffusion model (Q1003336) (← links)
• On the ruin probability for the Cox correlated risk model perturbed by diffusion (Q1003802) (← links)
• Optimal payout policy in presence of downside risk (Q1014300) (← links)
• Pricing perpetual American catastrophe put options: A penalty function approach (Q1017770) (← links)
• The dividend function in the jump-diffusion dual model with barrier dividend strategy (Q1030290) (← links)
• From ruin theory to pricing reset guarantees and perpetual put options (Q1293806) (← links)
• On the discounted distribution functions of the surplus process perturbed by diffusion. (Q1413277) (← links)
• On the time to ruin for Erlang(2) risk processes. (Q1413289) (← links)
• A generalized defective renewal equation for the surplus process perturbed by diffusion. (Q1413299) (← links)
• The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion. (Q1413337) (← links)
• Stock exchange dynamics involving both Gaussian and Poissonian white noises: Approximate solution via a symbolic stochastic calculus. (Q1413351) (← links)
• On the moments of the surplus process perturbed by diffusion. (Q1413363) (← links)
• Finite time ruin probabilities with one Laplace inversion. (Q1413406) (← links)
• On the expectations of the present values of the time of ruin perturbed by diffusion. (Q1413409) (← links)
• The joint density function of three characteristics on jump-diffusion risk process. (Q1413411) (← links)
• On the joint distributions of surplus immediately before ruin and the deficit at ruin for Erlang(2) risk processes. (Q1430677) (← links)
• On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts. (Q1766027) (← links)
• Ruin probabilities and overshoots for general Lévy insurance risk processes (Q1769411) (← links)
• Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion (Q1799152) (← links)
• On fair reinsurance premiums; capital injections in a perturbed risk model (Q1799626) (← links)
• On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation (Q1930455) (← links)
• Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion (Q1931039) (← links)
• The maximum surplus before ruin and related problems in a jump-diffusion renewal risk process (Q1942188) (← links)