An insurance risk model with stochastic volatility

DOI10.1016/j.insmatheco.2009.03.006zbMath1231.91163OpenAlexW3124582671MaRDI QIDQ659182

Sebastian Jaimungal, Yichun Chi, X. Sheldon Lin

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.03.006

zbMATH Keywords

stochastic volatilityphase-type distributionOrnstein-Uhlenbeck processintegro-differential equationsingular perturbation theorydiscounted penalty functionperturbed compound Poisson risk process

Mathematics Subject Classification ID

Integro-ordinary differential equations (45J05) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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On a time-changed Lévy risk model with capital injections and periodic observation ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives

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