First passage time under a regime-switching jump-diffusion model and its application in the valuation of participating contracts
Bull. Korean Math. Soc. 2019 Vol. 56, No. 5, 1355-1376
https://doi.org/10.4134/BKMS.b181196
Published online September 30, 2019
Yinghui Dong, Wenxin Lv, Sang Wu
Suzhou University of Science and Technology; Suzhou University of Science and Technology; Suzhou University of Science and Technology
Abstract : We investigate the valuation of participating life insurance policies with default risk under a geometric regime-switching jump-diffu\-sion process. We derive explicit formula for the Laplace transform of the price of participating contracts by solving integro-differential system and then price them by inverting Laplace transforms.
Keywords : participating contract, regime switching, jump-diffusion process, Laplace transform
MSC numbers : Primary 91B25, 91G20, 62P20
Downloads: Full-text PDF  


Copyright © Korean Mathematical Society. All Rights Reserved.
The Korea Science Technology Center (Rm. 411), 22, Teheran-ro 7-gil, Gangnam-gu, Seoul 06130, Korea
Tel: 82-2-565-0361  | Fax: 82-2-565-0364  | E-mail: paper@kms.or.kr   | Powered by INFOrang Co., Ltd