A numerical method to approximate ruin probabilities is proposed within the frame of a compound Poisson ruin model. The defective density function associated to the ruin probability is projected in an orthogonal polynomial system. These polynomials are orthogonal with respect to a probability...

We consider a special family of occupation-time derivatives, namely proportional step options introduced by [18]. We develop new closed-form spectral expansions for pricing such options under a class of nonlinear volatility diffusion processes which includes the constant-elasticity-of-variance...

Downgrade-triggered termination clause is a recent innovation in credit risk management to control counterparty credit risk. It allows one party of an over-the-counter derivative to close off its position at marked-to-market price when the other party’s credit rating downgrades to an agreed...