An insurance risk model with stochastic volatility

Insurance: Mathematics and Economics

Volumn 46, Issue 1, 2010, Pages 52-66

  Chi, Yichun ^a   Jaimungal, Sebastian ^b   Lin, X Sheldon ^b  

^a PEKING UNIVERSITY   (China)

^b UNIVERSITY OF TORONTO   (Canada)

Author keywords

Gerber Shiu expected discounted penalty function; Integro differential equation; Ornstein Uhlenbeck process; Perturbed compound Poisson risk process; Phase type distribution; Singular perturbation theory; Stochastic volatility

Indexed keywords

EID: 74249113918     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2009.03.006     Document Type: Article

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