In today's world of financial uncertainty, one major public concern is to assess (and possibly
improve) the stability of companies that take on risks. Actuaries have been aware of that …

We consider two models in which the logarithm of the price of an asset is a shifted
compound Poisson process. Explicit results are obtained for prices and optimal exercise …

Abstract Models in economics and other fields often require a restricted Brownian motion
because frequently implicit or explicit barriers restrict the domain. This paper contributes to …

In actuarial risk theory, the introduction of dividend pay-outs in surplus models goes back to
de Finetti (1957). Dividend strategies that can be found in the literature often yield pay-out …

The classical model of ruin theory is given by a Poisson claim number process with single
claims Xi and constant premium flow. Gerber has generalized this model by a linear …

The paper explicitly derives the conditional distribution of exchange rates and interest rate
differentials in the target zone model of Krugman (1991). The exact conditional density …

The optimal dividend policy is derived under general conditions which allow variable risk
parameters and discounting. For the compound Poisson distribution claim model as well as …

The paper examines pricing of options on target zone exchange rates. The pricing model of
Dumas, Jennergren and Näslund (1993) is extended to asymmetric burden sharing in the …

In his seminal paper, Bruno de Finetti (1957) laid the foundations of what would become an
increasingly popular branch of risk theory: the study of dividend strategies. The recent burst …

“Pricing Perpetual Options for Jump Processes”, Hans U. Gerber and Elias SW Shiu, July 1998
Page 1 PRICING PERPETUAL OPTIONS FOR JUMP PROCESSES 109 NAAJ (SOA) zt [112z/] …