Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach
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Publication:2015638
DOI10.1016/J.INSMATHECO.2013.09.011zbMATH Open1290.91179OpenAlexW1978770635MaRDI QIDQ2015638FDOQ2015638
Authors: Farzad Alavi Fard, Tak Kuen Siu 
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.09.011
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Cited In (8)
- Pricing and hedging defaultable participating contracts with regime switching and jump risk
- Optimal investment strategies for participating contracts
- Valuation and risk assessment of participating life insurance in the presence of credit risk
- Optimal divestment time in supply chain redesign under oligopoly: evidence from shale oil production plants
- Pricing participating policies under the Meixner process and stochastic volatility
- Pricing participating products under a generalized jump-diffusion model
- Valuation of guaranteed unitized participating life insurance under MEGB2 distribution
- An analytical study of participating policies with minimum rate guarantee and surrender option
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