Fair valuation of life insurance contracts under a two-sided jump diffusion model

DOI10.1080/03610926.2011.639976MaRDI QIDQ2864673zbMATHOpenAlexFDO

Authors Yinghui Dong, Guojing Wang

Publication date 26 November 2013

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2011.639976

zbMATH Keywords

default riskparticipating life insurance policiestwo-sided jump-diffusion process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes (60J60)

Recommendations

• Fair valuation of life insurance contracts under a correlated jump diffusion model
• A Lévy process-based framework for the fair valuation of participating life insurance contracts
• Fair valuation of path-dependent participating life insurance contracts.
• FIRST PASSAGE TIME UNDER A REGIME-SWITCHING JUMP-DIFFUSION MODEL AND ITS APPLICATION IN THE VALUATION OF PARTICIPATING CONTRACTS
• Pricing participating products under a generalized jump-diffusion model

Cites work

• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
• A Lévy process-based framework for the fair valuation of participating life insurance contracts
• A jump-diffusion model for option pricing
• A risk model driven by Lévy processes
• ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
• An extension of the Euler Laplace transform inversion algorithm with applications in option pricing.
• Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance
• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
• Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
• Financial Modelling with Jump Processes
• Hedging life insurance contracts in a Lévy process financial market
• Market value of life insurance contracts under stochastic interest rates and default risk
• Maximum likelihood estimation of the double exponential jump-diffusion process
• Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
• Pricing double barrier options using Laplace transforms
• Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model
• Stochastic Volatility for Lévy Processes
• The Fourier-series method for inverting transforms of probability distributions
• The Time Value of Ruin in a Sparre Andersen Model
• The perturbed compound Poisson risk model with two-sided jumps

Cited in

(8)

• Fair valuation of path-dependent participating life insurance contracts.
• FIRST PASSAGE TIME UNDER A REGIME-SWITCHING JUMP-DIFFUSION MODEL AND ITS APPLICATION IN THE VALUATION OF PARTICIPATING CONTRACTS
• On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View
• The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk
• Market value of life insurance contracts under stochastic interest rates and default risk
• Fair valuation of life insurance contracts under a correlated jump diffusion model
• A Lévy process-based framework for the fair valuation of participating life insurance contracts
• Pricing and hedging defaultable participating contracts with regime switching and jump risk

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