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

DOI10.1080/03610926.2011.639976zbMATH Open1277.91082OpenAlexW1985997329MaRDI QIDQ2864673FDOQ2864673

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

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

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)

Cites Work

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

Cited In (6)

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

This page was built for publication: Fair valuation of life insurance contracts under a two-sided jump diffusion model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2864673)