Regime-switching pure jump processes and applications in the valuation of mortality-linked products
DOI10.1080/03610926.2017.1319483zbMATH Open1388.49020OpenAlexW2606272378MaRDI QIDQ4634823FDOQ4634823
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
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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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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
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