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

longevity bondMarkov chainmultiple-life modelshot noise process with regime switching

Mathematics Subject Classification ID

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

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Cites work

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• A Universal Framework for Pricing Financial and Insurance Risks
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• AMERICAN OPTIONS WITH REGIME SWITCHING
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• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
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• Hedging life insurance with pure endowments
• scientific article; zbMATH DE number 3688413 (Why is no real title available?)
• scientific article; zbMATH DE number 722978 (Why is no real title available?)
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• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
• Securitization of catastrophe mortality risks
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• 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)

• Longevity bond pricing under stochastic interest rate and mortality with regime-switching
• Regime-switching shot-noise processes and longevity bond pricing
• Mortality regimes and pricing
• Pricing of endowment insurance products under the mortality dependence model
• 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

Describes a project that uses

Uses Software

• Human Mortality

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