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The Gerber-shiu Expected Discounted Penalty-reward Function under an Affine Jump-diffusion Model

Published online by Cambridge University Press:  17 April 2015

Florin Avram  and
Miguel Usabel
Florin Avram
Affiliation:
Department of Mathematics Université de Pau, France, E-Mail: Florin.Avram@univ-pau.fr
Miguel Usabel
Affiliation:
Department of Business Administration, Universidad Carlos III de Madrid, Spain, E-Mail: usabel@emp.uc3m.es
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Abstract

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We provide a unified analytical treatment of first passage problems under an affine state-dependent jump-diffusion model (with drift and volatility depending linearly on the state). Our proposed model, that generalizes several previously studied cases, may be used for example for obtaining probabilities of ruin in the presence of interest rates under the rational investement strategies proposed by Berk & Green (2004).

Keywords

First passage problemsrisk processstochastic rates of interestruin with interestaffine jump-diffusion modelspenalty/reward functions at ruin
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 38 , Issue 2 , November 2008 , pp. 461 - 481
Copyright
Copyright © ASTIN Bulletin 2008

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