Pricing participating products under a generalized jump-diffusion model

Tak Kuen Siu; John W. Lau; Hailiang Yang

doi:10.1155/2008/474623

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 journal › Article › peer-review

29 Citations (Scopus)

53 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 language	English
Article number	474623
Pages (from-to)	1-30
Number of pages	30
Journal	Journal of Applied Mathematics and Stochastic Analysis
Volume	2008
DOIs	https://doi.org/10.1155/2008/474623
Publication status	Published - 2008
Externally published	Yes

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.

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AB - 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.

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Pricing participating products under a generalized jump-diffusion model

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