The Gerber-shiu Expected Discounted Penalty-reward Function under an Affine Jump-diffusion Model

DOI10.2143/AST.38.2.2033350zbMath1256.91025MaRDI QIDQ3634588

Florin Avram, Miguel A. Usábel

Publication date: 25 June 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items

Unified approach for solving exit problems for additive-increase and multiplicative-decrease processes, The Gerber-Shiu discounted penalty function: a review from practical perspectives, Exit times, undershoots and overshoots for reflected CIR process with two-sided jumps, A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process

Cites Work

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• Affine processes and applications in finance
• Ruin problems with assets and liabilities of diffusion type
• Distributions for the risk process with a stochastic return on investments.
• Power tailed ruin probabilities in the presence of risky investments.
• Ruin probabilities and penalty functions with stochastic rates of interest
• Ruin probabilities for a~risk process with stochastic return on investments.