Date of Graduation
College of Business and Economics
Robert M Mnatsakanov
Erin R Leatherman
Michael E Mays
David A Miller
In this work, we propose several approximations for the evaluation of some risk measures and option prices based on the inversion of the scaled version of the Laplace transform which was suggested by Mnatsakanov and Sarkisian (2013). The classical risk model is considered for the evaluation of probability of ultimate ruin. Approximations of the inverse function of the ruin probability is proposed and its natural extension to the computation of Value at Risk, a benchmark risk measure for insurance and finance sectors, is proposed. The recovery of the distributions of bivariate models and bivariate aggregate claims amount on insurance policies is suggested. The proposed method is also applied to the Black-Scholes model for the estimation of option prices. Simulation studies and results are presented to demonstrate the performance of the proposed method.
Fadahunsi, Adetokunbo Ibukun, "Applications of the Scaled Laplace Transform in some Financial and Risk Models" (2016). Graduate Theses, Dissertations, and Problem Reports. 5563.