An extension of Paulsen–Gjessing’s risk model with stochastic return on investments
By Chuancun Yin, Yuzhen Wen. 2013
79 citations recorded by the source corpus.
We consider in this paper a general two-sided jump-diffusion risk model that allows for risky investments as well as for correlation between the two Brownian motions driving insurance risk and investment return. We first introduce the model and then find the integro-differential equations satisfied by the Gerber–Shiu functions as well as the expected discounted penalty functions at ruin caused by a claim or by oscillation. We also study the dividend problem for the threshold and barrier strategies, the moments and moment-generating function of the total discounted dividends until ruin are discussed. Some examples are given for special cases.
Subfields: Demography, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/ba0b7dbf9b05948a36b8f383b125f3fba615d974
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In Demography
In Finance
In Management Science and Operations Research
Citations in the corpus
- Optimal dividends problem with a terminal value for spectrally positive Levy processes (2013, background): “For example, Avanzi et al. (2007), Avanzi and Gerber (2008), Bayraktar and Egami (2008), Li and Wu (2009), Ng (2009), Yao, Yang and Wang (2010), Dai, Liu and Luan (2010, 2011), Avanzi, Shen and Wong (2011), Bayraktar, Kyprianou and Yamazaki (2013), Yin and Wen (2013) to name but a few.”
- Filtering‐based recursive least squares estimation approaches for multivariate equation‐error systems by using the multiinnovation theory (2021, methodology): “For the F-MI-M-RGELS algorithm in (44)–(62), assume that (A1) and (A2) hold, and there exist positive constants α3, α4, β3, β4, and t0 such that the following persistent excitation condition hold: (A5) α3I ≤ 1t ∑t j=1Γ T 1 (p, j)Γ 1(p, j) ≤ β3I, a.”