Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model

2005 ◽  
Vol 23 (6) ◽  
pp. 1213-1233 ◽  
Author(s):  
Michael Kirch ◽  
Alexander Melnikov
Keyword(s):  
Diffusion Model ◽  
Life Insurance ◽  
Jump Diffusion ◽  
Insurance Policies ◽  
Efficient Hedging ◽  
Jump Diffusion Model

scholarly journals Pricing Participating Products under a Generalized Jump-Diffusion Model

2008 ◽  
Vol 2008 ◽  
pp. 1-30 ◽  
Author(s):  
Tak Kuen Siu ◽  
John W. Lau ◽  
Hailiang Yang
Keyword(s):  
Diffusion Model ◽  
Life Insurance ◽  
Regime Switching ◽  
Jump Diffusion ◽  
Martingale Measure ◽  
Practical Implementation ◽  
Switching Models ◽  
Jump Diffusion Model ◽  
Equivalent Martingale ◽  
Markovian Regime Switching

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 regime-switching 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.

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