We propose a model for the valuation of participating life insurance products under a generalized jump-diffusion model with a Markov-switching compensator.
|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
- participating products
- regime switching