Hyper-exponential jump-diffusion model under the barrier dividend strategy

In this paper, we consider a hyper-exponential jump-diffusion model with a constant dividend barrier. Explicit solutions for the Laplace transform of the ruin time, and the GerberShiu function are obtained via martingale stopping.     

Dividend problems in the dual model with diffusion and exponentially distributed observation time

Consider dividend problems in the dual model with diffusion and exponentially distributed observation time where dividends are paid according to a barrier strategy. Assume that dividends can only be paid with a certain probability at each point of time, that is, on each observation, if the surplus exceeds the barrier, the excess is paid as dividend. In this paper, integro-differential equations for the expected discounted sum of dividends paid until ruin and the Laplace transform of ruin time are derived. When the gains are exponentially distributed, explicit expressions for the ruin probability, the expected discounted sum of dividends paid until ruin, the Laplace transform of ruin time and the expectation of ruin time are also obtained.     

OPTIMAL PROPORTIONAL REINSURANCE WITH CONSTANT DIVIDEND BARRIER

In this article, we consider an optimal proportional reinsurance with constant dividend barrier. First, we derive the Hamilton-Jacobi-Bellman equation satisfied by the expected discounted dividend payment, and then get the optimal stochastic control and the optimal constant barrier. Secondly, under the optimal constant dividend barrier strategy, we consider the moments of the discounted dividend payment and their explicit expressions are given. Finally, we discuss the Laplace transform of the time of ruin and its explicit expression is also given.     

Properties of the first passage times of the reflected O-U process with a two-sided barrier

In this paper, we give the Laplace transform of the first passage times and obtain the analytic expression of its mean for the reflected Ornstein–Uhlenbeck process with a two-sided barrier for general coefficients.     

A new construction of the Clifford-Fourier kernel

In this paper, we develop a new method based on the Laplace transform to study the Clifford-Fourier transform. First, the kernel of the Clifford-Fourier transform in the Laplace domain is obtained. When the dimension is even, the inverse Laplace transform may be computed and we obtain the explicit expression for the kernel as a finite sum of Bessel functions. We equally obtain the plane wave decomposition and find new integral representations for the kernel in all dimensions. Finally we define and compute the formal generating function for the even dimensional kernels.     

First-passage times of regime switching models

The probability of a stochastic process to first breach an upper and/or a lower level is an important quantity for optimal control and risk management. We present those probabilities for regime switching Brownian motion. In the 2- and 3-state model, the Laplace transform of the (single and double barrier) first-passage times is–up to the roots of a polynomial of degree 4 (respectively 6)–derived in closed-form by solving the matrix Wiener–Hopf factorization.¹ This extends single barrier results in the 2-state model by Guo (2001b). If the quotient of drift and variance is constant over all states, we show that the Laplace transform can even be inverted analytically.     

Lévy risk model with two-sided jumps and a barrier dividend strategy

In this paper, we consider a general Lévy risk model with two-sided jumps and a constant dividend barrier. We connect the ruin problem of the ex-dividend risk process with the first passage problem of the Lévy process reflected at its running maximum. We prove that if the positive jumps of the risk model form a compound Poisson process and the remaining part is a spectrally negative Lévy process with unbounded variation, the Laplace transform (as a function of the initial surplus) of the upward entrance time of the reflected (at the running infimum) Lévy process exhibits the smooth pasting property at the reflecting barrier. When the surplus process is described by a double exponential jump diffusion in the absence of dividend payment, we derive some explicit expressions for the Laplace transform of the ruin time, the distribution of the deficit at ruin, and the total expected discounted dividends. Numerical experiments concerning the optimal barrier strategy are performed and new empirical findings are presented.     

Solution of fractional order heat equation via triple Laplace transform in 2 dimensions

In this article, we introduce the triple Laplace transform for the solution of a class of fractional order partial differential equations. As a consequence, fractional order homogeneous heat equation in 2 dimensions is investigated in detail. The corresponding solution is obtained by using the aforementioned triple Laplace transform, which is the generalization of double Laplace transform. Numerical plots to the concerned solutions are provided to demonstrate our results.     

The Wiener process with drift between a linear retaining and an absorbing barrier

The Wiener process with constant drift is modified by a time-dependent retaining barrier that increases at a constant rate and by an absorbing barrier at zero. Explicit expressions in terms of series expansions are derived for the Laplace transform and the probability density function of the time of absorption.     

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In this paper, we study the dividend problems for finite time interval in the classical risk model. Assume that the dividends are paid according to a barrier strategy in the time interval $[0,t]$, i.e., given a nonnegative barrier value $b$, the dividends only can be paid when the surplus exceeds $b$ and the excess is paid as dividend. Applying the ``differential argument', the equation for the total expected discounted dividends in the time interval $[0,t]$ ($V(x;t)$) is derived, and the explicit expression for the Laplace transform of $V(x;t)$ with respect to $t$ is obtained under the assumption that the claim sizes are exponentially distributed. Finally, a numerical example is given by Stehfest method.     

Differentiability of dividends function on jump-diffusion risk process with a barrier dividend strategy

We consider a dividends model with a stochastic jump perturbed by diffusion. First, we prove that the expected discounted dividends function is twice continuously differentiable under the condition that the claim distribution function has continuous density. Then we show that the expected discounted dividends function under a barrier strategy satisfies some integro-differential equation of defective renewal type, and the solution of which can be explicitly expressed as a convolution formula. Finally, we study the Laplace transform of ruin time on the modified surplus process.     

A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model

In this paper, a risk model where claims arrive according to a Markovian arrival process (MAP) is considered. A generalization of the well-known Gerber-Shiu function is proposed by incorporating the maximum surplus level before ruin into the penalty function. For this wider class of penalty functions, we show that the generalized Gerber-Shiu function can be expressed in terms of the original Gerber-Shiu function (see e.g. [Gerber, Hans U., Shiu, Elias, S.W., 1998. On the time value of ruin. North American Actuarial Journal 2(1), 48-72]) and the Laplace transform of a first passage time which are both readily available. The generalized Gerber-Shiu function is also shown to be closely related to the original Gerber-Shiu function in the same MAP risk model subject to a dividend barrier strategy. The simplest case of a MAP risk model, namely the classical compound Poisson risk model, will be studied in more detail. In particular, the discounted joint density of the surplus prior to ruin, the deficit at ruin and the maximum surplus before ruin is obtained through analytic Laplace transform inversion of a specific generalized Gerber-Shiu function. Numerical illustrations are then examined.     

Laplace’s transform of fractional order via the Mittag–Leffler function and modified Riemann–Liouville derivative

We propose a (new) definition of a fractional Laplace’s transform, or Laplace’s transform of fractional order, which applies to functions which are fractional differentiable but are not differentiable, in such a manner that they cannot be analyzed by using the Djrbashian fractional derivative. After a short survey on fractional analysis based on the modified Riemann–Liouville derivative, we define the fractional Laplace’s transform. Evidence for the main properties of this fractal transformation is given, and we obtain a fractional Laplace inversion theorem.     

Spline regularization of numerical inversion of Mellin transform

A method is described for inverting the Mellin transform which uses an expansion in Laguerre polynomials and converts the Mellin transform to the Laplace transform, then the Laplace transform is converted to the first kind convolution integral equation by a suitable substitution. The integral equation so obtained is an ill-posed problem and we use the spline regularization to solve it. The performance of the method is illustrated by the inversion of the test functions available in the literature [J. Inst. Math. & Appl. 20 (1977), p. 73], [J. Math. Comp. 53 (1989), p. 589], [J. Sci. Stat. Comp. 4 (1983), p. 164]. The effectiveness of the method is shown by results obtained demonstrated by means of tables and diagrams.     

Quadrature formulas for the Laplace and Mellin transforms

A discrete Laplace transform and its inversion formula are obtained by using a quadrature of the integral Fourier transform which is given in terms of Hermite polynomials and its zeros. This approach yields a convergent discrete formula for the two-sided Laplace transform if the function to be transformed falls off rapidly to zero and satisfies given conditions of integrability, achieving convergence also for singular functions. The inversion formula becomes a quadrature formula for the Bromwich integral. The use of asymptotic formulae yields an algorithm to compute the discrete Laplace transform by using only exponentials.     

Fractional extensions of some boundary value problems in oil strata

In the present paper, we solve three boundary value problems related to the temperature field in oil strata — the fractional extensions of the incomplete lumped formulation and lumped formulation in the linear case and the fractional generalization of the incomplete lumped formulation in the radial case. By using the Caputo differintegral operator and the Laplace transform, the solutions are obtained in integral forms where the integrand is expressed in terms of the convolution of some auxiliary functions of Wright function type. A generalization of the Laplace transform convolution theorem, known as Efros’ theorem is widely used.     

Pricing and Hedging of Lookback Options in Hyper-exponential Jump Diffusion Models

ABSTRACT

In this article, we consider the problem of pricing lookback options in certain exponential Lévy market models. While in the classic Black-Scholes models the price of such options can be calculated in closed form, for more general asset price model, one typically has to rely on (rather time-intense) Monte-Carlo or partial (integro)-differential equation (P(I)DE) methods. However, for Lévy processes with double exponentially distributed jumps, the lookback option price can be expressed as one-dimensional Laplace transform (cf. Kou, S. G., Petrella, G., & Wang, H. (2005). Pricing path-dependent options with jump risk via Laplace transforms. The Kyoto Economic Review, 74(9), 1–23.). The key ingredient to derive this representation is the explicit availability of the first passage time distribution for this particular Lévy process, which is well-known also for the more general class of hyper-exponential jump diffusions (HEJDs). In fact, Jeannin and Pistorius (Jeannin, M., & Pistorius, M. (2010). A transform approach to calculate prices and Greeks of barrier options driven by a class of Lévy processes. Quntitative Finance, 10(6), 629–644.) were able to derive formulae for the Laplace transformed price of certain barrier options in market models described by HEJD processes. Here, we similarly derive the Laplace transforms of floating and fixed strike lookback option prices and propose a numerical inversion scheme, which allows, like Fourier inversion methods for European vanilla options, the calculation of lookback options with different strikes in one shot. Additionally, we give semi-analytical formulae for several Greeks of the option price and discuss a method of extending the proposed method to generalized hyper-exponential (as e.g. NIG or CGMY) models by fitting a suitable HEJD process. Finally, we illustrate the theoretical findings by some numerical experiments.     

Solving System of Conformable Fractional Differential Equations by Conformable Double Laplace Decomposition Method

Herein, an approach known as conformable double Laplace decomposition method (CDLDM) is suggested for solving system of non-linear conformable fractional differential equations. The devised scheme is the combination of the conformable double Laplace transform method (CDLTM) and, the Adomian decomposition method (ADM). Obtained results from mathematical experiments are in full agreement with the results obtained by other methods. Furthermore, according to the results obtained we can conclude that the proposed method is efficient, reliable and easy to be implemented on related many problems in real-life science and engineering.     

Laplace变换法求解分数阶差分方程（英文）

In this paper, we discuss the Laplace transform of the Caputo fractional difference and the fractional discrete Mittag-Leffler functions. On these bases, linear and nonlinear fractional initial value problems are solved by the Laplace transform method.     

A two-dimensional ruin problem on the positive quadrant

In this paper we study the joint ruin problem for two insurance companies that divide between them both claims and premia in some specified proportions (modeling two branches of the same insurance company or an insurance and re-insurance company). Modeling the risk processes of the insurance companies by Cramér-Lundberg processes we obtain the Laplace transform in space of the probability that either of the insurance companies is ruined in finite time. Subsequently, for exponentially distributed claims, we derive an explicit analytical expression for this joint ruin probability by explicitly inverting this Laplace transform. We also provide a characterization of the Laplace transform of the joint ruin time.