Pricing Participating Products under a Generalized Jump-Diffusion Model
2008 ◽
Vol 2008
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pp. 1-30
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Keyword(s):
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.
2017 ◽
Vol 22
(7)
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pp. 2595-2626
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Keyword(s):
2016 ◽
Vol 294
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pp. 177-195
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Keyword(s):
2018 ◽
Vol 134
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pp. 81-104
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Keyword(s):
2015 ◽
Vol 22
(10)
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pp. 887-908
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Keyword(s):
2005 ◽
Vol 23
(6)
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pp. 1213-1233
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Keyword(s):
2018 ◽
Vol 48
(9)
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pp. 2185-2205
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Keyword(s):
2013 ◽
Vol 83
(1)
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pp. 373-381
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2011 ◽
Vol 2011
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pp. 1-14
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