First passage time under a regime-switching jump-diffusion model and its application in the valuation of participating contracts
Bull. Korean Math. Soc.
Published online July 23, 2019
Yinghui Dong, Wenxin LV, and Sang Wu
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-diffusion process. We derive explicit formula
for the Laplace transform of the price of participating contracts by solving integrodifferential
system and then price them by inverting Laplace transforms.
Keywords : Participating contract; regime switching; jump-diffusion process; Laplace transform
MSC numbers : 91B25; 91G20; 62P20.
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