The first passage time problem for mixed-exponential jump processes with applications in insurance and finance

DOI10.1155/2014/571724zbMath1474.62375arXiv1302.6762OpenAlexW2111074574WikidataQ59039556 ScholiaQ59039556MaRDI QIDQ1724420

Zhaojun Zong, Ying Shen, Yuzhen Wen, Chuan-Cun Yin

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.6762

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Risk models (general) (91B05) Jump processes on general state spaces (60J76)

Related Items (4)

Strong convergence in the \(p\)th-mean of an averaging principle for two-time-scales SPDEs with jumps ⋮ A note on first passage functionals for Lévy processes with jumps of rational Laplace transforms ⋮ Ruin under stochastic dependence between premium and claim arrivals ⋮ Characterizations of random walks on random lattices and their ramifications

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