کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
9552807 1374150 2005 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Fair valuation of participating policies with surrender options and regime switching
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Fair valuation of participating policies with surrender options and regime switching
چکیده انگلیسی
We consider the fair valuation of a participating life insurance policy with surrender options when the market values of the asset are modelled by Markov-modulated Geometric Brownian Motion (GBM). We reduce the dimension of the optimal stopping problem for the policy by changing probability measures. We also provide a decomposition result for the value of the policy. The Barone-Adesi-Whaley approximation has been employed to approximate the solution of the free boundary problem for the policy by second-order piecewise linear ordinary differential equations (ODEs). The fair valuation of participating perpetual American contracts are also considered.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 37, Issue 3, 16 December 2005, Pages 533-552
نویسندگان
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