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Fair valuation of participating policies with surrender options and regime-switching
Tak Kuen Siu
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Corresponding author for this work
Research output
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Contribution to journal
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Article
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peer-review
65
Citations (Scopus)
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Dive into the research topics of 'Fair valuation of participating policies with surrender options and regime-switching'. Together they form a unique fingerprint.
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Mathematics
Regime Switching
78%
Valuation
60%
Policy
59%
Geometric Brownian Motion
20%
Optimal Stopping Problem
19%
Linear Ordinary Differential Equations
17%
Insurance
16%
Free Boundary Problem
15%
Market
15%
Piecewise Linear
14%
Life
13%
Probability Measure
13%
Decompose
9%
Approximation
7%
Business & Economics
Surrender Option
100%
Regime Switching
68%
Free Boundary Problem
24%
Market Value
22%
Optimal Stopping Problem
21%
Differential Equations
20%
Geometric Brownian Motion
18%
Decomposition
16%
Life Insurance
16%
Approximation
12%
Assets
8%