Regime-switching pure jump processes and applications in the valuation of mortality-linked products

DOI10.1080/03610926.2017.1319483MaRDI QIDQ4634823zbMATH OpenOpenAlexFDO

Authors Yinghui Dong, Kam Chuen Yuen, Guojing Wang

Publication date 11 April 2018

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

Full work available at URL https://doi.org/10.1080/03610926.2017.1319483

zbMATH Keywords

Markov chainlongevity bondmultiple-life modelshot noise process with regime switching

Mathematics Subject Classification ID

Markov semigroups and applications to diffusion processes (47D07) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Laplace transform (44A10) Optimality conditions for problems involving ordinary differential equations (49K15) Optimal stochastic control (93E20)

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Cites work

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• Securitization of catastrophe mortality risks
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• The virtual waiting-time and related processes
• Validation of long-term equity return models for equity-linked guarantees
• Valuation and hedging of life insurance liabilities with systematic mortality risk

Cited in

(6)

• Pricing of endowment insurance products under the mortality dependence model
• Regime-switching shot-noise processes and longevity bond pricing
• Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process
• Pricing an option-type longevity derivative under a regime-switching O-U stochastic mortality model with jumps
• Longevity bond pricing under stochastic interest rate and mortality with regime-switching
• Mortality regimes and pricing

Describes a project that uses

Uses Software

• Human Mortality

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