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On the discounted penalty at ruin in a jump-diffusion and the perpetual put option

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  1. Franck Adékambi & Essodina Takouda, 2020. "Gerber–Shiu Function in a Class of Delayed and Perturbed Risk Model with Dependence," Risks, MDPI, vol. 8(1), pages 1-25, March.
  2. Runhuan Feng & Yasutaka Shimizu, 2013. "On a Generalization from Ruin to Default in a Lévy Insurance Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 15(4), pages 773-802, December.
  3. Christophette Blanchet-Scalliet & Diana Dorobantu & Didier Rullière, 2013. "The density of the ruin time for a renewal-reward process perturbed by a diffusion," Post-Print hal-00625099, HAL.
  4. Zhang, Aili & Li, Shuanming & Wang, Wenyuan, 2023. "A scale function based approach for solving integral-differential equations in insurance risk models," Applied Mathematics and Computation, Elsevier, vol. 450(C).
  5. Tsai, Cary Chi-Liang & Willmot, Gordon E., 2002. "A generalized defective renewal equation for the surplus process perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 30(1), pages 51-66, February.
  6. Luis Alvarez & Teppo Rakkolainen, 2009. "Optimal payout policy in presence of downside risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(1), pages 27-58, March.
  7. He, Yue & Kawai, Reiichiro & Shimizu, Yasutaka & Yamazaki, Kazutoshi, 2023. "The Gerber-Shiu discounted penalty function: A review from practical perspectives," Insurance: Mathematics and Economics, Elsevier, vol. 109(C), pages 1-28.
  8. Chi, Yichun & Lin, X. Sheldon, 2011. "On the threshold dividend strategy for a generalized jump-diffusion risk model," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 326-337, May.
  9. Biffis, Enrico & Morales, Manuel, 2010. "On a generalization of the Gerber-Shiu function to path-dependent penalties," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 92-97, February.
  10. Biffis, Enrico & Kyprianou, Andreas E., 2010. "A note on scale functions and the time value of ruin for Lévy insurance risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 85-91, February.
  11. Luis H. R. Alvarez & Teppo A. Rakkolainen, 2007. "Optimal Dividend Control in Presence of Downside Risk," Discussion Papers 14, Aboa Centre for Economics.
  12. Kim, Hwa-Sung & Kim, Bara & Kim, Jerim, 2014. "Pricing perpetual American CatEPut options when stock prices are correlated with catastrophe losses," Economic Modelling, Elsevier, vol. 41(C), pages 15-22.
  13. Ben Salah, Zied & Garrido, José, 2018. "On fair reinsurance premiums; Capital injections in a perturbed risk model," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 11-20.
  14. Zhimin Zhang & Eric C. K. Cheung, 2016. "The Markov Additive Risk Process Under an Erlangized Dividend Barrier Strategy," Methodology and Computing in Applied Probability, Springer, vol. 18(2), pages 275-306, June.
  15. Ren, Jiandong, 2005. "The expected value of the time of ruin and the moments of the discounted deficit at ruin in the perturbed classical risk process," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 505-521, December.
  16. Xia Zhao & Bo Zhang, 2012. "Pricing perpetual options with stochastic discount interest rates," Quality & Quantity: International Journal of Methodology, Springer, vol. 46(1), pages 341-349, January.
  17. Landriault, David & Li, Bin & Loke, Sooie-Hoe & Willmot, Gordon E. & Xu, Di, 2017. "A note on the convexity of ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 1-6.
  18. Philipp N. Baecker, 2007. "Real Options and Intellectual Property," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-48264-2, October.
  19. Franck Adékambi & Essodina Takouda, 2022. "On the Discounted Penalty Function in a Perturbed Erlang Renewal Risk Model With Dependence," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 481-513, June.
  20. Tsai, Cary Chi-Liang, 2003. "On the expectations of the present values of the time of ruin perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 413-429, July.
  21. Wei Wang, 2015. "The Perturbed Sparre Andersen Model with Interest and a Threshold Dividend Strategy," Methodology and Computing in Applied Probability, Springer, vol. 17(2), pages 251-283, June.
  22. Luis H. R. Alvarez & Teppo A. Rakkolainen, 2006. "A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions," Discussion Papers 9, Aboa Centre for Economics.
  23. Feng, Runhuan, 2011. "An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 304-313, March.
  24. Morales, Manuel, 2007. "On the expected discounted penalty function for a perturbed risk process driven by a subordinator," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 293-301, March.
  25. Feng, Runhuan & Shimizu, Yasutaka, 2014. "Potential measures for spectrally negative Markov additive processes with applications in ruin theory," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 11-26.
  26. Sun, Lijuan & Yang, Hailiang, 2004. "On the joint distributions of surplus immediately before ruin and the deficit at ruin for Erlang(2) risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 34(1), pages 121-125, February.
  27. Li, Shuanming & Ren, Jiandong, 2013. "The maximum severity of ruin in a perturbed risk process with Markovian arrivals," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 993-998.
  28. Tsai, Cary Chi-Liang, 2001. "On the discounted distribution functions of the surplus process perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 28(3), pages 401-419, June.
  29. Sarkar, Joykrishna & Sen, Arusharka, 2005. "Weak convergence approach to compound Poisson risk processes perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 421-432, June.
  30. Yang, Hu & Zhang, Zhimin, 2009. "The perturbed compound Poisson risk model with multi-layer dividend strategy," Statistics & Probability Letters, Elsevier, vol. 79(1), pages 70-78, January.
  31. Chiu, S. N. & Yin, C. C., 2003. "The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 59-66, August.
  32. Yue He & Reiichiro Kawai & Yasutaka Shimizu & Kazutoshi Yamazaki, 2022. "The Gerber-Shiu discounted penalty function: A review from practical perspectives," Papers 2203.10680, arXiv.org, revised Dec 2022.
  33. Wang, Guojing & Wu, Rong, 2008. "The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 59-64, February.
  34. Kam C. Yuen & Yuhua Lu & Rong Wu, 2009. "The compound Poisson process perturbed by a diffusion with a threshold dividend strategy," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(1), pages 73-93, January.
  35. Riccardo Gatto & Benjamin Baumgartner, 2016. "Saddlepoint Approximations to the Probability of Ruin in Finite Time for the Compound Poisson Risk Process Perturbed by Diffusion," Methodology and Computing in Applied Probability, Springer, vol. 18(1), pages 217-235, March.
  36. Avram, Florin & Chan, Terence & Usabel, Miguel, 0. "On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts," Stochastic Processes and their Applications, Elsevier, vol. 100(1-2), pages 75-107, July.
  37. Diko, Peter & Usábel, Miguel, 2011. "A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 126-131, July.
  38. Schmidli, Hanspeter, 2010. "On the Gerber-Shiu function and change of measure," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 3-11, February.
  39. Wan, Ning, 2007. "Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 509-523, May.
  40. Tsai, Cary Chi-Liang, 2006. "On the stop-loss transform and order for the surplus process perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 39(1), pages 151-170, August.
  41. Chen, Yu-Ting & Chen, Yu-Tzu & Sheu, Yuan-Chung, 2017. "First exit from an open set for a matrix-exponential Lévy process," Statistics & Probability Letters, Elsevier, vol. 127(C), pages 104-110.
  42. Chi, Yichun & Jaimungal, Sebastian & Lin, X. Sheldon, 2010. "An insurance risk model with stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 52-66, February.
  43. Lin, X. Sheldon & Wang, Tao, 2009. "Pricing perpetual American catastrophe put options: A penalty function approach," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 287-295, April.
  44. Gerber, Hans U. & Shiu, Elias S. W., 1999. "From ruin theory to pricing reset guarantees and perpetual put options," Insurance: Mathematics and Economics, Elsevier, vol. 24(1-2), pages 3-14, March.
  45. Dickson, David C. M. & Hipp, Christian, 2001. "On the time to ruin for Erlang(2) risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 29(3), pages 333-344, December.
  46. Zhang, Chunsheng & Wang, Guojing, 2003. "The joint density function of three characteristics on jump-diffusion risk process," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 445-455, July.
  47. Wen Su & Wenguang Yu, 2020. "Asymptotically Normal Estimators of the Gerber-Shiu Function in Classical Insurance Risk Model," Mathematics, MDPI, vol. 8(10), pages 1-11, September.
  48. Shimizu, Yasutaka & Zhang, Zhimin, 2017. "Estimating Gerber–Shiu functions from discretely observed Lévy driven surplus," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 84-98.
  49. Chi, Yichun, 2010. "Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 385-396, April.
  50. Avram, Florin & Usabel, Miguel, 2003. "Finite time ruin probabilities with one Laplace inversion," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 371-377, July.
  51. Jumarie, Guy, 2002. "Stock exchange dynamics involving both Gaussian and Poissonian white noises: approximate solution via a symbolic stochastic calculus," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 179-189, October.
  52. Tsai, Cary Chi-Liang & Willmot, Gordon E., 2002. "On the moments of the surplus process perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 327-350, December.
  53. Zhimin Zhang & Hailiang Yang & Hu Yang, 2012. "On a Sparre Andersen Risk Model with Time-Dependent Claim Sizes and Jump-Diffusion Perturbation," Methodology and Computing in Applied Probability, Springer, vol. 14(4), pages 973-995, December.
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