The Gerber-Shiu expected discounted penalty-reward function under an affine jump-diffusion model. [PDF]
We provide a unified analytical treatment of first passage problems under an affine state-dependent jump-diffusion model (with drift and volatility depending linearly on the state).
Avram, Florin, Usábel, Miguel A.
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Analysis of some risk models involving dependence [PDF]
, 2010 The seminal paper by Gerber and Shiu (1998) gave a huge boost to the study of risk theory by not only unifying but also generalizing the treatment and the analysis of various risk-related quantities in one single mathematical function - the Gerber-Shiu ...
Cheung, Eric C.K.
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Duality and Derivative Pricing with Lévy Processes [PDF]
The aim of this work is to use a duality approach to study the pricing of derivatives depending on two stocks driven by a bidimensional Lévy process. The main idea is to apply Girsanov's Theorem for Lévy processes, in order to reduce the posed problem to
Ernesto Mordecki, José Fajardo
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ON THE TIME VALUE OF RUIN IN THE DISCRETE TIME RISK MODEL [PDF]
Using an approach similar to that of Gerber and Shiu (1998), a recursive formula is given for the expected discounted penalty due at ruin, in the discrete time risk model. With it the joint distribution of three random variables is obtained; time to ruin,
José Garrido, Shuanming Li
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On the distribution of cash-flows using Esscher transforms. [PDF]
In their seminal paper, Gerber and Shiu (1994) introduced the concept of the Esscher transform for option pricing. As examples they considered the shifted Poisson process, the random walk, a shifted gamma process and a shifted inverse Gaussian process to
De Schepper, A +4 more
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A numerical method for the expected penalty–reward function in a Markov-modulated jump–diffusion process. [PDF]
A generalization of the Cramér–Lundberg risk model perturbed by a diffusion is proposed. Aggregate claims of an insurer follow a compound Poisson process and premiums are collected at a constant rate with additional random fluctuation.
Diko, Peter, Usábel, Miguel A.
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Equivalent Martingale Measures and Lévy Processes [PDF]
In this paper we compute equivalent martingale measures when the asset price return is modeled by a Lévy process.
José Fajardo
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Finite time ruin probabilities with one Laplace inversion. [PDF]
In this work we present an explicit formula for the Laplace transform in time of the finite time ruin probabilities of a classical Levy model with phase-type claims. Our result generalizes the ultimate ruin probability formula of Asmussen and Rolski [IME
Avram, Florin, Usábel, Miguel A.
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Option pricing for GARCH-type models with generalized hyperbolic innovations [PDF]
In this paper, we provide a new dynamic asset pricing model for plain vanilla options and we discuss its ability to produce minimum mispricing errors on equity option books.
Christophe Chorro +2 more
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The distribution of some extremum on the risk process whose income depend on the current reserve. [PDF]
Springerplus, 2016 He J, Liu Z, Zhang W.
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