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...
Main Author: | Ouoba, Mahamadi |
---|---|
Format: | Others |
Language: | English |
Published: |
Mälardalens högskola, Akademin för utbildning, kultur och kommunikation
2014
|
Subjects: | |
Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-26100 |
Similar Items
-
On combined asymptotic expansions in singular perturbations
by: Eric Benoit, et al.
Published: (2002-06-01) -
Asymptotic Methods for Stochastic Volatility Option Pricing: An Explanatory Study
by: Chen, Lichen
Published: (2011) -
Asymptotic expansions for linear symmetric hyperbolic systems with small parameter
by: O. Hawamdeh, et al.
Published: (1999-09-01) -
Asymptotics of the Solution of Bisingular Problem for a System of Linear Parabolic Equations. I
by: M. V. Butuzova
Published: (2013-02-01) -
CEV Model with Stochastic Volatility
by: IVAN BURTNYAK, et al.
Published: (2019-12-01)