Mathematical finance has grown into a huge area of research which requires a lot of care
and a large number of sophisticated mathematical tools. The subject draws upon quite …

This paper studies the joint distribution of the time of ruin, the surplus immediately before
ruin, and the deficit at ruin. The time of ruin is analyzed in terms of its Laplace transforms …

Analytical tractability is one of the challenges faced by many alternative models that try to
generalize the Black-Scholes option pricing model to incorporate more empirical features …

We consider the jump-diffusion that is obtained if an independent Wiener process is added
to the surplus process of classical ruin theory. In this model, we examine the expected …

The aggregate claims are modeled as a compound binomial process, and the individual
claim amounts are integer-valued. We study f (x, y; u), the “discounted” probability of ruin for …

Abstract Dufresne et al.(1991) introduced a general risk model defined as the limit of
compound Poisson processes. Such a model is either a compound Poisson process itself or …

The Expected Discounted Penalty Function (EDPF) was introduced in a series of now
classical papers (Gerber and Shiu, 1997, 1998a, b). Motivated by applications in option …

Nonexponential asymptotics for solutions of two specific defective renewal equations are
obtained. These include the special cases of asymptotics for a compound geometric …

We examine the joint distribution of the time of ruin, the surplus immediately before ruin, the
deficit at ruin, and the cause of ruin. The time of ruin is analyzed in terms of its Laplace …

We consider an investment fund whose unit value is modeled by a geometric Brownian
motion. Different forms of dynamic investment fund protection are examined. The basic form …