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q-fin.CP2013
An extension of Paulsen-Gjessing's risk model with stochastic return on investments
Chuancun Yin, Yuzhen Wen
We consider in this paper a general two-sided jump-diffusion risk model that allows for risky investments as well as for correlation between the two Brownian motions driving insura…
q-fin.CP2013
The first passage time problem for mixed-exponential jump processes with applications in insurance and finance
Chuancun Yin, Yuzhen Wen, Zhaojun Zong +1
This paper stidies the first passage times to constant boundaries for mixed-exponential jump diffusion processes. Explicit solutions of the Laplace transforms of the distribution o…