Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach

Farzad Alavi Fard

Research output: Contribution to journalMeeting abstract

Abstract

We propose a model for the valuation of participating life insurance products under a generalized jump-diffusion model with a Markov-switching compensator.
Original languageEnglish
Pages (from-to)31
Number of pages1
JournalExpo 2013 Higher Degree Research : book of abstracts
Publication statusPublished - 2013
EventHigher Degree Research Expo (9th : 2013) - Sydney
Duration: 5 Nov 20137 Nov 2013

Keywords

  • participating products
  • regime switching

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