Jump diffusion processes and their applications in insurance and finance

This publication has 14 references indexed in Scilit:

• Ruin probabilities and overshoots for general Lévy insurance risk processes
  The Annals of Applied Probability, 2004
• Martingale Approach for Moments of Discounted Aggregate Claims
  Journal of Risk and Insurance, 2004
• Stochastic Volatility for Lévy Processes
  Mathematical Finance, 2003
• A risk model driven by Lévy processes
  Applied Stochastic Models in Business and Industry, 2003
• Moments of compound renewal sums with discounted claims
  Insurance: Mathematics and Economics, 2001
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
  Econometrica, 2000
• Ruin theory with compounding assets — a survey
  Insurance: Mathematics and Economics, 1998
• The total claims distribution under inflationary conditions
  Scandinavian Actuarial Journal, 1989
• Classical risk theory in an economic environment
  Insurance: Mathematics and Economics, 1987
• A Theory of the Term Structure of Interest Rates
  Econometrica, 1985