On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory
In this paper we introduce a new coherent cumulative risk measure on a subclass in the space of cà dlà g processes. This new coherent risk...
On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk t
The field of risk theory has traditionally focused on ruin-related quantities. In particular, the so-called expected discounted penalty...
On the Price of Risk of the Underlying Markov Chain in a Regime-Switching Exponential Lévy Model
Regime-switching models (RSM) have been recently used in the literature as alternatives to the Black-Scholes model. Several authors favor...
Lévy systems and the time value of ruin for Markov additive processes
In this paper we study the ruin problem for an insurance risk process driven by a spectrally-positive Markov additive process. Particular...
Contingent Claim Pricing Using a Normal Inverse Gaussian Probability Distortion Operator.
We consider the problem of pricing contingent claims using distortion operators. This approach was first developed in (Wang, 2000) where...
Computing the finite-time expected discounted penalty function for a family of Lévy risk processes
Ever since the first introduction of the expected discounted penalty function (EDPF), it has been widely acknowledged that it contains...
Risk measures on the space of infinite sequences
Axiomatically based risk measures have been the object of numerous studies and generalizations in recent years. In the literature we find...
On a generalization of the Gerber–Shiu function to path-dependent penalties
The Expected Discounted Penalty Function (EDPF) was introduced in a series of now classical papers. Motivated by applications in option...
On the expected discounted penalty function for a perturbed risk process driven by a subordinator
The Expected Discounted Penalty Function (EDPF) was introduced in a series of now classical papers [Gerber, H.U., Shiu, E.S.W., 1997. The...
