Pricing participating products under a generalized jump-diffusion model

Tak Kuen Siu*, John W. Lau, Hailiang Yang

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

27 Citations (Scopus)
4 Downloads (Pure)

Abstract

We propose a model for valuing participating life insurance products under a generalized jump-diffusion model with a Markov-switching compensator. It also nests a number of important and popular models in finance, including the classes of jump-diffusion models and Markovian regime-switching models. The Esscher transform is employed to determine an equivalent martingale measure. Simulation experiments are conducted to illustrate the practical implementation of the model and to highlight some features that can be obtained from our model.

Original languageEnglish
Article number474623
Pages (from-to)1-30
Number of pages30
JournalJournal of Applied Mathematics and Stochastic Analysis
Volume2008
DOIs
Publication statusPublished - 2008
Externally publishedYes

Bibliographical note

Copyright the Author(s) 2008. Version archived for private and non-commercial use with the permission of the author/s and according to publisher conditions. For further rights please contact the publisher at http://www.hindawi.com.

Fingerprint

Dive into the research topics of 'Pricing participating products under a generalized jump-diffusion model'. Together they form a unique fingerprint.

Cite this