Essays about: "Mahamadi Ouoba"
Found 1 essay containing the words Mahamadi Ouoba.
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1. Asymptotic expansion of the expected discounted penalty function in a two-scalestochastic volatility risk model.
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : In this Master thesis, we use a singular and regular perturbation theory to derive an analytic approximation formula for the expected discounted penalty function. Our model is an extension of Cramer–Lundberg extended classical model because we consider a more general insurance risk model in which the compound Poisson risk process is perturbed by a Brownian motion multiplied by a stochastic volatility driven by two factors- which have mean reversion models. READ MORE
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