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- Title
Pricing Participating Products under a Generalized Jump-Diffusion Model.
- Authors
Siu, Tak Kuen; Lau, John W.; Yang, Hailiang
- Abstract
We propose a model for valuing participating life insurance products under a generalized jump-diffusion model with a Markov-switching compensator. It also nests a number of important and popular models in finance, including the classes of jump-diffusion models and Markovian regimeswitching models. The Esscher transform is employed to determine an equivalent martingale measure. Simulation experiments are conducted to illustrate the practical implementation of the model and to highlight some features that can be obtained from our model.
- Subjects
LIFE insurance; PRICING; DIFFUSION processes; JUMP processes; MATHEMATICS in life insurance; SIMULATION methods &; models; MARTINGALES (Mathematics); RATES
- Publication
Journal of Applied Mathematics & Stochastic Analysis, 2008, p1
- ISSN
1048-9533
- Publication type
Article
- DOI
10.1155/2008/474623