Asymptotic expansion of the expected discounted penalty function in a two-scalestochastic volatility risk model.
In this Master thesis, we use a singular and regular perturbation theory to derive an analytic approximation formula for the expected discounted penalty function. Our model is an extension of Cramer–Lundberg extended classical model because we consider a more general insurance risk model in which th...
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| Format: | Others |
| Language: | English |
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Mälardalens högskola, Akademin för utbildning, kultur och kommunikation
2014
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-26100 |