کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077487 1374132 2009 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Pricing perpetual American catastrophe put options: A penalty function approach
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Pricing perpetual American catastrophe put options: A penalty function approach
چکیده انگلیسی
The expected discounted penalty function proposed in the seminal paper by Gerber and Shiu [Gerber, H.U., Shiu, E.S.W., 1998. On the time value of ruin. North Amer. Actuarial J. 2 (1), 48-78] has been widely used to analyze the joint distribution of the time of ruin, the surplus immediately before ruin and the deficit at ruin, and the related quantities in ruin theory. However, few of its applications can be found beyond except that Gerber and Landry [Gerber, H.U., Landry, B., 1998. On the discount penalty at ruin in a jump-diffusion and the perpetual put option. Insurance: Math. Econ. 22, 263-276] explored its use for the pricing of perpetual American put options. In this paper, we further explore the use of the expected discounted penalty function and mathematical tools developed for the function to evaluate perpetual American catastrophe equity put options. We obtain the analytical expression for the price of perpetual American catastrophe equity put options and conduct a numerical implementation for a wide range of parameter values. We show that the use of the expected discounted penalty function enables us to evaluate the perpetual American catastrophe equity put option with minimal numerical work.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 44, Issue 2, April 2009, Pages 287-295
نویسندگان
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