Ruin under stochastic dependence between premium and claim arrivals

关于 Laplace 变换在具有随机保险赔付和风险资产投资的风险问题中的应用

On the Application of Laplace Transform to the Ruin Problem with Random Insurance Payments and Investments in a Risky Asset

本文应用 Laplace 变换研究了具有随机保费和风险资产投资的破产问题，分析了大初始资本下破产概率的渐近行为。

扩展扭曲保费原则下的最优无道德风险再保险

Optimal moral-hazard-free reinsurance under extended distortion premium principles

本文在扩散风险模型下研究最小化终身破产概率的无道德风险再保险问题，通过激励相容约束排除道德风险，在扩展扭曲保费原则下证明最优合同存在并给出充要条件，将其刻画为双重障碍问题的解，并通过三个例子得到（半）闭形式最优合同。

A characterization of progressively equivalent probability measures preserving the structure of a compound mixed renewal process

Generalizing earlier works of Delbaen & Haezendonck [5] as well as of [18] and [16] for given compound mixed renewal process S under a probability measure P, we characterize all those probability measures Q on the domain of P such that Q and P are progressively equivalent and S remains a compound mixed renewal process under Q with improved properties. As a consequence, we prove that any compound mixed renewal process can be converted into a compound mixed Poisson process through a change of measures. Applications related to the ruin problem and to the computation of premium calculation princip…

Time is Money: The Equilibrium Trading Horizon and Optimal Arrival Price

Executing even moderately large derivatives orders can be expensive and risky; it's hard to balance the uncertainty of working an order over time versus paying a liquidity premium for immediate execution. Here, we introduce the Time Is Money model, which calculates the Equilibrium Trading Horizon over which to execute an order within the adversarial forces of variance risk and liquidity premium. We construct a hypothetical at-the-money option within Arithmetic Brownian Motion and invert the Bachelier model to compute an inflection point between implied variance and liquidity cost as governed b…