On Fair Valuation of Participating Life Insurance Policies With Regime Switching

DOI10.1007/0-387-71163-5_3zbMath1311.91129OpenAlexW1788096798MaRDI QIDQ5424401

Tak Kuen Siu

Publication date: 5 November 2007

Published in: International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/0-387-71163-5_3

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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Fair valuation of participating policies with surrender options and regime switching

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