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In this paper, we consider an optimal investment-consumption-insurance purchase problem for a wage earner. We assume that the price of the risky asset is governed by a continuous-time, finite state self-exciting threshold model. In this model, the state space of the price of the risky asset is partitioned by a set of thresholds and the parameters depend on the region which the current value of the price falls in. The wage earner's objective is to find the optimal investment-consumption-insurance strategy that maximizes the expected discounted utilities. The optimal strategy for power utility function is derived by the martingale approach and the dynamic programming approach. Numerical examples are also provided to illustrate the effect of the thresholds. [ABSTRACT FROM AUTHOR]

In this article, we investigate the pricing of European-style options under a Markovian regime-switching Hull–White interest rate model. The parameters of this model, including the mean-reversion level, the volatility of the stochastic interest rate, and the volatility of an asset’s value, are modulated by an observable, continuous-time, finite-state Markov chain. A closed-form expression for the characteristic function of the logarithmic terminal asset price is derived. Then, using the fast Fourier transform, a price of a European-style option is computed. In a two-state Markov chain case, numerical examples and empirical studies are presented to illustrate the practical implementation of the model. [ABSTRACT FROM AUTHOR]

This article supposes that a large insurance company can control its surplus process by reinsurance, paying dividends, or injecting capitals. The exponential premium principle and proportional reinsurance are adopted in business activities. We investigate the general situation that the company needs to pay both proportional and fixed costs for dividends and capital injections. The object of the company is to determine an optimal joint reinsurance–dividend–capital injection strategy for maximizing the expected present value of dividends less capital injections until the time of bankruptcy. In both cases of non cheap and cheap reinsurance, we obtain the explicit solutions for value function and optimal strategy. [ABSTRACT FROM AUTHOR]

In this paper, we consider the dividends and equity issuances control problem in the perturbed dual model under a penalty for ruin. Transaction costs are incurred by these business activities: dividend is taxed and fixed costs are generated by equity issuance. The objective is to maximize the expected present value of dividends minus the discounted costs of equity issuances and the discounted penalty until the ruin time. We find the joint optimal dividend and equity issuance strategy by solving the control problems of two categories of suboptimal model. Furthermore, we derive the explicit closed solutions for the value functions and the optimal strategies when the jumps are mixed exponential. In particular, we investigate the effects of the penalty, the proportional and fixed transaction costs, the expense rate and the force of interest on the optimal strategies by numerical calculations, and give some interesting economic insights. [ABSTRACT FROM AUTHOR]

ZnS nanotetrapods synthesized via a solvothermal route have a octahedral core with a zincblende (ZB) structure and four hexprism-shaped arms consisting of alternately stacking ZB and wurtzite (WZ) phases, where the WZ phase has a higher volume percentage.In situangular-dispersive X-ray diffraction (ADXRD) measurements were carried out to study the structural behavior of ZnS nanotetrapods under high pressure up to 41.3 GPa. The initial WZ structure exhibits a very high mechanical stability to ∼11.3 GPa. Both the WZ and ZB structures transform to the rocksalt (RS) structure at ∼15.4 GPa. The bulk moduli of the WZ (148.2 ± 8.9 GPa) and RS (165.6 ± 9.9 GPa) phases are both larger than the previously reported values. These phenomena are discussed based on the alternating epitaxial growth of the WZ and ZB phases in the arms of nanotetrapods. Our study suggests that the internal structure of nanomaterials could also greatly affect their stability and transition behavior. [ABSTRACT FROM PUBLISHER]

This article considers the pricing of equity-indexed annuity (EIA). By employing the change of measure technique, we derive the closed-form solutions for the prices of both point-to-point and annual reset equity-indexed annuities. We also provide numerical results to illustrate the method and computational efficiency of our simulation scheme and the effects of various model parameters on the participation rate. [ABSTRACT FROM AUTHOR]

In this article, we discuss about the stochastic comparisons and optimal allocation for policy limits and deductibles. We order the total retained losses of a policyholder in the usual stochastic order under more general conditions ofXi(i = 1,…,n), based on which the optimal allocation of policy limits and deductibles are achieved in some special cases. Several results in Cheung (2007) and Lu and Meng (2011) are generalized here. [ABSTRACT FROM AUTHOR]

In contrast with the classical Cramer-Lundberg model where the premium process is a linear function of time, we consider the ruin probability under the risk model where the aggregate premium consists of both a compound Poisson process and a linear process of time. Moreover, a constant interest force is also taken into account in our model. We restrict ourselves to the case where the claim size is heavy-tailed, i.e., the equilibrium distribution function of the claim size belongs to a wide subclass of the subexponential distribution. An asymptotic formula for the ruin probability is obtained by using the similar method of Kalashnikov and Konstantinides (2000). The asymptotic formula we get here is the same as the one in Asmussen (1998), Kluppelberg and Stadtmuller (1998), and Kalashnikov and Konstantinides (2000) which did not consider the stochastic premium. [ABSTRACT FROM AUTHOR]

In this article, we consider an Erlang(2) risk process perturbed by diffusion. From the extreme value distribution of Brownian motion with drift and the renewal theory, we show that the survival probability satisfies an integral equation. We then give the bounds for the ultimate ruin probability and the ruin probability caused by claim. By introducing a random walk associated with the proposed risk process, we define an adjustment-coefficient. The relation between the adjustment-coefficient and the bound is given and the Lundberg-type inequality for the bound is obtained. Also, a formula of Pollaczek–Khinchin type for the bound is derived. Using these results, the bound can be calculated when claim sizes are exponentially distributed. [ABSTRACT FROM AUTHOR]