Regime-switching pure jump processes and applications in the valuation of mortality-linked products (Q4634823)
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scientific article; zbMATH DE number 6858755
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| English | Regime-switching pure jump processes and applications in the valuation of mortality-linked products |
scientific article; zbMATH DE number 6858755 |
Statements
Regime-switching pure jump processes and applications in the valuation of mortality-linked products (English)
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11 April 2018
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longevity bond
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Markov chain
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multiple-life model
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shot noise process with regime switching
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0.8512302041053772
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0.8194158673286438
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0.8108165264129639
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0.8066859841346741
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0.8047767877578735
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