Search Results - subject:"Jump Diffusion"

An actuarial approach for modeling pandemic risk

Hainaut, Donatien - In: Risks : open access journal 9 (2021) 1/3, pp. 1-28

In this article, a model for pandemic risk and two stochastic extensions is proposed. It is designed for actuarial valuation of insurance plans providing healthcare and death benefits. The core of our approach relies on a deterministic model that is an efficient alternative to the...

Persistent link: https://www.econbiz.de/10012422887

Continuous mixed-laplace jump diffusion models for stocks and commodities

Hainaut, Donatien - In: Quantitative finance and economics 1 (2017) 2, pp. 145-173

Persistent link: https://www.econbiz.de/10012137762

Pricing extreme mortality risk in the wake of the COVID-19 pandemic

Li, Han; Liu, Haibo; Tang, Qihe; Yuan, Zhongyi - In: Insurance / Mathematics & economics 108 (2023), pp. 84-106

Persistent link: https://www.econbiz.de/10013534513

q-scale function, Banach contraction principle, and ultimate ruin probability in a Markov-modulated jump-diffusion risk model

Liu, Yuxuan; Jiang, Zhengjun; Zhang, Yiwen - In: Scandinavian actuarial journal 2023 (2023) 1, pp. 38-50

Persistent link: https://www.econbiz.de/10013491049

Option prices in the equity, index and commodity markets : the "message from markets"

Ronn, Ehud I. - In: Options - 45 years since the publication of the …, (pp. 433-449). 2023

Persistent link: https://www.econbiz.de/10014366690

Robust irreversible investment strategy with ambiguity to jump and diffusion risk

Li, Shuang; Wang, Haijun - In: International review of finance : the official journal … 23 (2023) 3, pp. 645-665

Persistent link: https://www.econbiz.de/10014368442

The pricing and static hedging of multi-step double barrier options

Lee, Hangsuck; Ko, Bangwon; Lee, Minha - In: Finance research letters 55 (2023) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10014473264

Jump-diffusion volatility models for variance swaps : an empirical performance analysis

Jin, Xing; Hong, Yi - In: International review of financial analysis 87 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014457699

On the time and aggregate claim amount until the surplus dropsbelow zero or reaches a safety level in a jump diffusion risk model

Boutsikasa, M. V.; Economidesa, D.-J.; Vaggelatou, E. - In: Scandinavian actuarial journal 2024 (2024) 1, pp. 64-88

Persistent link: https://www.econbiz.de/10014519936

Valuing equity-linked annuities under high-water mark fee structure

Yan, Kaixin; Li, Shuanming; Zhang, Aili - In: Scandinavian actuarial journal 2024 (2024) 5, pp. 506-531

Persistent link: https://www.econbiz.de/10014520719

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