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From ruin theory to option pricing

Gerber, Hans U.; Shiu, Elias S. W. - 1997

Persistent link: https://www.econbiz.de/10000971723

Pricing perpetual American options for jump processes

Gerber, Hans U.; Shiu, Elias S. W. - 1997

Persistent link: https://www.econbiz.de/10000972080

On the discounted penalty at ruin in a jump-diffusion and the perpetual put option

Gerber, Hans U.; Landry, Bruno - 1997

Persistent link: https://www.econbiz.de/10000972765

Acturial approach to option pricing

Gerber, Hans U.; Shiu, Elias S. W. - 1995

Persistent link: https://www.econbiz.de/10000934460

Pricing Russian options with the compound poisson process

Gerber, Hans U.; Michaud, Frédéric; Shiu, Elias S. W. - 1994

Persistent link: https://www.econbiz.de/10000934463

Martingale approach to pricing perpetual American options on two stocks

Gerber, Hans U. - In: Mathematical finance : an international journal of … 6 (1996) 3, pp. 303-322

Persistent link: https://www.econbiz.de/10001208957

Valuing equity-linked death benefits in jump diffusion models

Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 615-623

Persistent link: https://www.econbiz.de/10010227922

Valuing equity-linked death benefits and other contingent options : a discounted density approach

Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang - In: Insurance / Mathematics & economics 51 (2012) 1, pp. 73-92

Persistent link: https://www.econbiz.de/10009558293

Geometric stopping of a random walk and its applications to valuing equity-linked death benefits

Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang - In: Insurance / Mathematics & economics 64 (2015), pp. 313-325

Persistent link: https://www.econbiz.de/10011398088

Modelling Dependence in Insurance Claims Processes with Lévy Copulas

Avanzi, Benjamin - 2012

In this paper we investigate the potential of Lévy copulas as a tool for modelling dependence between compound Poisson processes and their applications in insurance. We analyse characteristics regarding the dependence in frequency and dependence in severity allowed by various Lévy copula...

Persistent link: https://www.econbiz.de/10013114340