@inbook{1ad34bdb2de4406f94146512202143e9,
title = "On fair valuation of participating life insurance policies with regime-switching",
abstract = "We consider the valuation of participating life insurance policies usinga regime-switching Esscher transform developed in Elliott, Chan and Siu (2005)when the market values of the reference asset are driven by a Markov-modulatedgeometric Brownian motion (GBM).We employ the Markov-modulated GBM drivenby a continuous-time hidden Markov chain model to describe the impact of theswitching behavior of the states of economy on the price dynamics of the referenceasset. We also explore the change of measures technique to reduce the dimension ofthe valuation problem.",
keywords = "Hidden markov chain model, Participating policies, Regimeswitching Esscher transform",
author = "Siu, {Tak Kuen}",
year = "2007",
language = "English",
isbn = "0387710817",
volume = "104",
series = "International Series in Operations Research and Management Science",
publisher = "Springer, Springer Nature",
pages = "31--43",
editor = "Rogemar Mamon and Robert Elliott",
booktitle = "Hidden Markov models in finance",
address = "United States",
}