Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process

DOI10.1007/S10436-013-0239-0zbMATH Open1298.91096OpenAlexW2072012402MaRDI QIDQ470735FDOQ470735

Authors Farzad Alavi Fard, Ning Rong

Publication date 13 November 2014

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-013-0239-0

zbMATH Keywords

Esscher transformpricing and risk managementregime switching variance gammaruin contingent life annuity

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Portfolio theory (91G10)

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Cites work

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• Time changes for Lévy processes

Cited in

(4)

• Sensitivity analysis of a class of interest rate derivatives in a variance gamma Lévy market
• A numerical method for annuity-purchasing decision making to minimize the probability of financial ruin for regime-switching wealth models
• Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits
• Optimal divestment time in supply chain redesign under oligopoly: evidence from shale oil production plants

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