The Study on the Penalty Function of the Insurance Company When the Stock Price Follows Exponential Lévy Process

Zhao Wu,Zeng Yong,Wang Ding-cheng

doi:10.1007/978-90-481-3660-5_32

The Study on the Penalty Function of the Insurance Company When the Stock Price Follows Exponential Lévy Process

Zhao Wu, Zeng Yong + Show 1 more

https://doi.org/10.1007/978-90-481-3660-5_32

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Publication Date: Dec 15, 2009

Citations: 6

Affiliation: University of Electronic Science and Technology of China, Australian National University

#Certain Amount Of Money #Exponential Levy Process + Show 8 more

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Abstract

This paper investigates the penalty function under the condition that the insurance company is allowed to invest certain amount of money in some stock market and the remaining reserve in the bond with constant interest force. Through the properties of exponential Levy process and discrete embedded method, the integral equations for penalty function is derived under the assumption that the stock price follows exponential Levy process. The method for explicitly computing the ruin quantities is obtained.

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