Bull. Korean Math. Soc. 2019; 56(5): 1355-1376
Online first article July 23, 2019 Printed September 30, 2019
https://doi.org/10.4134/BKMS.b181196
Copyright © The Korean Mathematical Society.
Yinghui Dong, Wenxin Lv, Sang Wu
Suzhou University of Science and Technology; Suzhou University of Science and Technology; Suzhou University of Science and Technology
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
Supported by: This work was financially supported by the NSF of Jiangsu Province (Grant No. BK20170064), the NNSF of China (Grant No. 11771320), QingLan Project of Jiangsu Province, the scholarship of Jiangsu Overseas Visiting Scholar Program and Suzhou Key
Laboratory for Big Data and Information Service (SZS201813)
2019; 56(6): 1467-1483
2011; 48(4): 737-757
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