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Persistent link: https://www.econbiz.de/10005374955
In this paper, we extend the Cramér-Lundberg insurance risk model perturbed by diffusion to incorporate stochastic volatility and study the resulting Gerber-Shiu expected discounted penalty (EDP) function. Under the assumption that volatility is driven by an underlying Ornstein-Uhlenbeck (OU)...
Persistent link: https://www.econbiz.de/10008507367
Persistent link: https://www.econbiz.de/10004973695