کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076988 | 1374111 | 2010 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In this paper, we extend the Cramér-Lundberg risk model perturbed by diffusion to incorporate the jumps of surplus investment return. Under the assumption that the jump of surplus investment return follows a compound Poisson process with Laplace distributed jump sizes, we obtain the explicit closed-form expression of the resulting Gerber-Shiu expected discounted penalty (EDP) function through the Wiener-Hopf factorization technique instead of the integro-differential equation approach. Especially, when the claim distribution is of Phase-type, the expression of the EDP function is simplified even further as a compact matrix-type form. Finally, the financial applications include pricing barrier option and perpetual American put option and determining the optimal capital structure of a firm with endogenous default.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 46, Issue 2, April 2010, Pages 385-396
Journal: Insurance: Mathematics and Economics - Volume 46, Issue 2, April 2010, Pages 385-396
نویسندگان
Yichun Chi,