No abstract

a b s t r a c tThis article investigates the valuation of European option with credit risk in a reduced form model. We assume that the interest rate follows the Vasicek model and the intensity of default is driven by a jump diffusion process. We obtain the closed form formula for the price of the option and provide some numerical illustrations of the results obtained.

No abstract

This paper considers a by-claim risk model under the asymptotical independence or asymptotical dependence structure between each main claim and its by-claim. In the presence of heavy-tailed main claims and by-claims, we derive some asymptotic behavior for ruin probabilities.

This article investigates the pricing of the warrant bonds with default risk under a jump diffusion process. We assume that the stock price follows a jump diffusion model while the interest rate and the default intensity have the feature of mean reversion. By the risk neutral pricing theorem, we obtain an explicit pricing formula of the warrant bond. Furthermore, numerical analysis is provided to illustrate the sensitivities of the proposed pricing model.