Fair valuation of participating policies with surrender options and regime switching

DOI10.1016/J.INSMATHECO.2005.05.007zbMath1129.60062OpenAlexW2103636353MaRDI QIDQ817287

Publication date: 8 March 2006

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.05.007

zbMATH Keywords

regime switching change of measures participating American policies perpetual contracts second-order piecewise linear ODEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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