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An Insurance Risk Model with Stochastic Volatility

Chi, Yichun - 2010

In this paper, we extend the Cramer-Lundberg insurance risk model perturbed by diffusion to incorporate stochastic volatility and study the resulting Gerber-Shiu expected discounted penalty (EDP) function. Under the assumption that volatility is driven by an underlying Ornstein-Uhlenbeck (OU)...

Persistent link: https://www.econbiz.de/10012758093

On the dual risk model with tax payments

Albrecher, Hansjörg; Badescu, Andrei; Landriault, David - In: Insurance: Mathematics and Economics 42 (2008) 3, pp. 1086-1094

In this paper, we study the dual risk process in ruin theory (see e.g. Cramér, H. 1955. Collective Risk Theory: A Survey of the Theory from the Point of View of the Theory of Stochastic Processes. Ab Nordiska Bokhandeln, Stockholm, Takacs, L. 1967. Combinatorial methods in the Theory of...

Persistent link: https://www.econbiz.de/10005380534

Risk processes analyzed as fluid queues

Badescu, Andrei; Breuer, Lothar; Silva Soares, Ana Da; … - In: Scandinavian actuarial journal : Actuarial Society of … 105 (2005) 2, pp. 127-141

Persistent link: https://www.econbiz.de/10005922187

On the dual risk model with tax payments

Albrecher, Hansjörg; Badescu, Andrei; Landriault, David - In: Insurance / Mathematics & economics 42 (2008) 3, pp. 1086-1094

Persistent link: https://www.econbiz.de/10008057644

On the analysis of a multi-threshold Markovian risk model

Badescu, Andrei; Drekic, Steve; Landriault, David - In: Scandinavian actuarial journal : Actuarial Society of … 107 (2007) 4, pp. 248-260

Persistent link: https://www.econbiz.de/10007887277

Analysis of a threshold dividend strategy for a MAP risk model

Badescu, Andrei; Drekic, Steve; Landriault, David - In: Scandinavian actuarial journal : Actuarial Society of … 107 (2007) 4, pp. 227-247

Persistent link: https://www.econbiz.de/10007887278

The surplus prior to ruin and the deficit at ruin for a correlated risk process

Badescu, Andrei; Breuer, Lothar; Drekic, Steve; … - In: Scandinavian actuarial journal : Actuarial Society of … 105 (2005) 6, pp. 433-445

Persistent link: https://www.econbiz.de/10007258638

Extremes on the discounted aggregate claims in a time dependent risk model

Asimit, Alexandru; Badescu, Andrei - In: Scandinavian actuarial journal : Actuarial Society of … 2010 (2010) 2, pp. 93-105

Persistent link: https://www.econbiz.de/10008418029

On the dual risk model with tax payments

Albrecher, Hansjörg; Badescu, Andrei; Landriault, David - In: Insurance / Mathematics & economics 42 (2008) 3, pp. 1086-1095

Persistent link: https://www.econbiz.de/10008893121

Analysis of a defective renewal equation arising in ruin theory

Lin, X. Sheldon; Willmot, Gordon E. - In: Insurance: Mathematics and Economics 25 (1999) 1, pp. 63-84

Persistent link: https://www.econbiz.de/10005374534