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
core
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.
core
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.
core
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
core
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.
europepmc +1 more source
The analysis of the Gerber-Shiu discounted penalty function
, 2011 The Gerber-Shiu discounted penalty function was the main object of investigations in the thesis. This function is very effective tool in modelling activity of insurance company, because it describes the expectation of the present value of a future bankruptcy.
openaire +1 more source
The Efficacy of Psychological Capital Intervention (PCI) for Depression From the Perspective of Positive Psychology: A Pilot Study. [PDF]
Front Psychol, 2019 Song R, Sun N, Song X.
europepmc +1 more source
Approximation methods for piecewise deterministic Markov processes and their costs. [PDF]
Scand Actuar J, 2019 Kritzer P +3 more
europepmc +1 more source
Inferring fungal cis-regulatory networks from genome sequences via unsupervised and interpretable representation learning. [PDF]
GeneticsMoses AM +3 more
europepmc +1 more source