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From ruin theory to pricing reset guarantees and perpetual put options

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  • Gerber, Hans U.
  • Shiu, Elias S. W.

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  • Gerber, Hans U. & Shiu, Elias S. W., 1999. "From ruin theory to pricing reset guarantees and perpetual put options," Insurance: Mathematics and Economics, Elsevier, vol. 24(1-2), pages 3-14, March.
    • Handle: RePEc:eee:insuma:v:24:y:1999:i:1-2:p:3-14
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    References listed on IDEAS

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    1. Gerber, Hans U. & Landry, Bruno, 1998. "On the discounted penalty at ruin in a jump-diffusion and the perpetual put option," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 263-276, July.
    2. Gerber, Hans U. & Shiu, Elias S. W., 1997. "The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 129-137, November.
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    Citations

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    Cited by:

    1. Biffis, Enrico & Morales, Manuel, 2010. "On a generalization of the Gerber-Shiu function to path-dependent penalties," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 92-97, February.
    2. Armstrong, Michael J., 2001. "The reset decision for segregated fund maturity guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 257-269, October.
    3. Cheng, Shixue & Gerber, Hans U. & Shiu, Elias S. W., 2000. "Discounted probabilities and ruin theory in the compound binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 239-250, May.
    4. Lin, X. Sheldon & Willmot, Gordon E., 1999. "Analysis of a defective renewal equation arising in ruin theory," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 63-84, September.
    5. Hans Gerber & Gérard Pafumi, 1998. "Pricing dynamic solvency insurance and investment fund protection," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 21(1), pages 125-146, June.
    6. Wang, Nan & Pang, Wan Kai & Huang, Wei Kwang, 2002. "A discussion on Buhlmann's criterion for asset valuation," Insurance: Mathematics and Economics, Elsevier, vol. 30(1), pages 85-93, February.
    7. Windcliff, H. & Forsyth, P. A. & Vetzal, K. R., 2001. "Valuation of segregated funds: shout options with maturity extensions," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 1-21, August.
    8. Ko, Bangwon & Shiu, Elias S.W. & Wei, Li, 2010. "Pricing maturity guarantee with dynamic withdrawal benefit," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 216-223, October.
    9. Lin, X. Sheldon & Willmot, Gordon E., 2000. "The moments of the time of ruin, the surplus before ruin, and the deficit at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 19-44, August.
    10. Linyi Qian & Zhuo Jin & Wei Wang & Lyu Chen, 2018. "Pricing dynamic fund protections for a hyperexponential jump diffusion process," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 47(1), pages 210-221, January.
    11. Chiu, S. N. & Yin, C. C., 2003. "The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 59-66, August.
    12. Wong, Hoi Ying & Chan, Chun Man, 2007. "Lookback options and dynamic fund protection under multiscale stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 357-385, May.
    13. Kam C. Yuen & Yuhua Lu & Rong Wu, 2009. "The compound Poisson process perturbed by a diffusion with a threshold dividend strategy," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(1), pages 73-93, January.

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