Blar i Bergen Open Research Archive på forfatter "Hunting, Martin"
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Existence of a classical solution of a parabolic PIDE associated with ruin probability
Hunting, Martin (2012-06-18)In this article we will prove existence of a classical solution of the integro-differential equation for ruin probability in finite time stated in Paulsen (2008). -
Lévy processes and Lévy copulas with an application in insurance
Hunting, Martin (Master thesis, 2007)This thesis discusses Lévy processes and Lévy copulas. In connection with Lévy processes we treat some of the theory behind infinitely divisible distributions, acknowledging that the two classes are equivalent.Within the ... -
A numerical approach to ruin probability in finite time for fitted models with investment
Hunting, Martin (2012)In this paper we present a numerical method for solving a partial integro-differential equation (PIDE) associated with ruin probability, when the surplus is continuously invested in stochastic assets. The method uses ... -
Optimal dividend policies for a class of growth-restricted di usion processes under transaction costs and solvency constraints
Bai, Lihua; Hunting, Martin; Paulsen, Jostein (Peer reviewed; Journal article, 2012)In this paper, we consider a company where surplus follows a rather general di usion process and whose objective is to maximize expected discounted dividend payments. With each dividend payment there are transaction costs ... -
Optimal dividend policies with transaction costs for a class of jump-diffusion processes
Hunting, Martin; Paulsen, Jostein (Peer reviewed; Journal article, 2012)This paper addresses the problem of finding an optimal dividend policy for a class of jump-diffusion processes. The jump component is a compound Poisson process with negative jumps, and the drift and diffusion components ... -
Ruin probability and optimal dividend policy for models with investment
Hunting, Martin (Doctoral thesis, 2012-11-06)In most countries the authorities impose capital requirements on insurance companies in order to avoid the adverse consequences to society when insurance companies default on claims. Since holding capital is costly, this ...