Essays about: "singular and regular perturbation theory"

Found 1 essay containing the words singular and regular perturbation theory.

  1. 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 kommunikation

    Author : Mahamadi Ouoba; [2014]
    Keywords : risk model; asymptotic expansion; stochastic volatility; singular and regular perturbation theory;

    Abstract : 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