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Document Details : Title: The Gerber-Shiu Expected Discounted Penalty-Reward Function under an Affine Jump-Diffusion Model Author(s): AVRAM, Florin , USABEL, Miguel Journal: ASTIN Bulletin Volume: 38 Issue: 2 Date: November 2008 Pages: 461-481 DOI: 10.2143/AST.38.2.2033350 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). |
