| Autor: |
Angelos Dassios, Jiwook Jang, Hongbiao Zhao |
| Jazyk: |
angličtina |
| Rok vydání: |
2019 |
| Předmět: |
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| Zdroj: |
Risks, Vol 7, Iss 4, p 103 (2019) |
| Druh dokumentu: |
article |
| ISSN: |
2227-9091 |
| DOI: |
10.3390/risks7040103 |
| Popis: |
In this paper, we study a generalised CIR process with externally-exciting and self-exciting jumps, and focus on the distributional properties and applications of this process and its aggregated process. The aim of the paper is to introduce a more general process that includes many models in the literature with self-exciting and external-exciting jumps. The first and second moments of this jump-diffusion process are used to calculate the insurance premium based on mean-variance principle. The Laplace transform of aggregated process is derived, and this leads to an application for pricing default-free bonds which could capture the impacts of both exogenous and endogenous shocks. Illustrative numerical examples and comparisons with other models are also provided. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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