The Gerber-Shiu Expected Discounted Penalty-Reward Function under an Affine Jump-Diffusion Model Articles uri icon

publication date

  • November 2008

start page

  • 461

end page

  • 481

issue

  • 2

volume

  • 38

International Standard Serial Number (ISSN)

  • 0515-0361

Electronic International Standard Serial Number (EISSN)

  • 1783-1350

abstract

  • 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).