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 language | English |
|---|---|
| Pages (from-to) | 31 |
| Number of pages | 1 |
| Journal | Expo 2013 Higher Degree Research : book of abstracts |
| Publication status | Published - 2013 |
| Event | Higher Degree Research Expo (9th : 2013) - Sydney Duration: 5 Nov 2013 → 7 Nov 2013 |
Keywords
- participating products
- regime switching