文章基本信息

标题：Vasicek model with mixed-exponential jumps and its applications in finance and insurance
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作者：Yongfeng Wu ; Xue Liang
期刊名称：Advances in Difference Equations
印刷版ISSN：1687-1839
电子版ISSN：1687-1847
出版年度：2018
卷号：2018
期号：1
页码：138
DOI：10.1186/s13662-018-1593-z
语种：English
出版社：Hindawi Publishing Corporation
摘要：In this paper, the authors study the distribution of the Vasicek model with mixed-exponential jumps and its applications in finance and insurance. With the aid of the piecewise deterministic Markov process theory and the martingale theory, the authors first obtain the explicit forms of the Laplace transforms for the distribution of the Vasicek model with mixed-exponential jumps and its integrated process. As some applications in finance and insurance, the pricing of the default-free zero-coupon bond and the European put option on the zero-coupon bond, and the moments of the aggregate accumulated claim amounts are discussed. The authors also provide some remarks and numerical calculations.
关键词：Vasicek model with mixed-exponential jumps ; Laplace transform ; Default-free zero-coupon bond ; European put option ; Aggregate accumulated claim