A regime-switching model with jumps and its application to bond pricing and insurance

DOI10.1142/S0219493716500234zbMath1352.60111MaRDI QIDQ2834907

Yinghui Dong, Guo-jing Wang, Kam-Chuen Yuen

Publication date: 25 November 2016

Published in: Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

Markov processesinsurancezero-coupon bondaggregate accumulated claimsregime-switching shot noise process

Mathematics Subject Classification ID

Gaussian processes (60G15) Markov semigroups and applications to diffusion processes (47D07) Laplace transform (44A10) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (2)

A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling ⋮ A Markov modulated dynamic contagion process with application to credit risk

Cites Work

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• AMERICAN OPTIONS WITH REGIME SWITCHING
• Risk theory in a Markovian environment
• Threshold-Type Policies for Real Options Using Regime-Switching Models
• Numerical solutions for jump-diffusions with regime switching

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