کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076701 | 1374098 | 2013 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Pricing participating products with Markov-modulated jump-diffusion process: An efficient numerical PIDE approach
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
We propose a model for the valuation of participating life insurance products under a generalized jump-diffusion model with a Markov-switching compensator. The Esscher transform is employed to determine an equivalent martingale measure in the incomplete market. The results are further manipulated through the utilization of the change of numeraire technique to reduce the dimensions of the pricing formulation. This paper is the first that extends the technique for a generalized jump-diffusion process with a Markov-switching kernel-biased completely random measure, which nests a number of important and popular models in finance. A numerical analysis is conducted to illustrate the practical implications.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 53, Issue 3, November 2013, Pages 712-721
Journal: Insurance: Mathematics and Economics - Volume 53, Issue 3, November 2013, Pages 712-721
نویسندگان
Farzad Alavi Fard, Tak Kuen Siu,