Chi, Yichun; Jaimungal, Sebastian; Lin, X. Sheldon - In: Insurance: Mathematics and Economics 46 (2010) 1, pp. 52-66
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)...