Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance

DOI10.1016/J.INSMATHECO.2009.12.004zbMath1231.91162OpenAlexW3124494975MaRDI QIDQ659239

Yichun Chi

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.2009.12.004

zbMATH Keywords

Wiener-Hopf factorizationLaplace distributionbarrier optiondiscounted penalty functionperturbed compound Poisson risk processoptimal capital structureperpetual american put option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (11)

The dependence of assets and default threshold with thinning-dependence structure ⋮ Numerical method for a Markov-modulated risk model with two-sided jumps ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Lévy risk model with two-sided jumps and a barrier dividend strategy ⋮ The first passage time problem for mixed-exponential jump processes with applications in insurance and finance ⋮ Exit problems for jump processes having double-sided jumps with rational Laplace transforms ⋮ On the threshold dividend strategy for a generalized jump-diffusion risk model ⋮ Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model ⋮ Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions ⋮ Fair Valuation of Life Insurance Contracts Under a Two-Sided Jump Diffusion Model ⋮ A ruin model with compound Poisson income and dependence between claim sizes and claim intervals

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