Fair Valuation of Life Insurance Contracts Under a Two-Sided Jump Diffusion Model

DOI10.1080/03610926.2011.639976zbMath1277.91082MaRDI QIDQ2864673

Yinghui Dong, Guo-jing 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 risk; participating life insurance policies; two-sided jump-diffusion process

Mathematics Subject Classification ID

60J60: Diffusion processes

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

FIRST PASSAGE TIME UNDER A REGIME-SWITCHING JUMP-DIFFUSION MODEL AND ITS APPLICATION IN THE VALUATION OF PARTICIPATING CONTRACTS

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