In this paper, the authors study the distribution of the Vasicek model with mixed-exponential jumps and its applications in finance and insurance. With the aid of the piecewise deterministic Markov process theory and the martingale theory, the authors first obtain the explicit forms of the Laplace transforms for the distribution of the Vasicek model with mixed-exponential jumps and its integrated process. As some applications in finance and insurance, the pricing of the default-free zero-coupon bond and the European put option on the zero-coupon bond, and the moments of the aggregate accumulated claim amounts are discussed. The authors also provide some remarks and numerical calculations.
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