Risk-based premium evaluation with jump diffusion process for PBGC

DOI10.1080/03610926.2021.1939381MaRDI QIDQ6161003zbMATH OpenOpenAlexFDO

Authors Lin Xie, Wei Wang, Zhixin Yang, Nan Zhang

Publication date 26 June 2023

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

Full work available at URL https://doi.org/10.1080/03610926.2021.1939381

zbMATH Keywords

jump diffusion processPBGCpremiumpremature termination

Mathematics Subject Classification ID

Statistics (62-XX)

Recommendations

• ESTIMATION OF VALUE AT RISK AND RUIN PROBABILITY FOR DIFFUSION PROCESSES WITH JUMPS
• Risk measures for derivatives with Markov-modulated pure jump processes
• Risk indifference pricing in jump diffusion markets
• Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors
• Valuing default risk for assets value jump processes
• Utility based pricing and hedging of jump diffusion processes with a view to applications
• Risk-neutral measures and pricing for a pure jump price process
• An ergodic BSDE risk representation in a jump-diffusion framework
• Pricing of credit risky debts when the asset prices follow a jump-diffusion process

Cites work

• A risk-based model for the valuation of pension insurance
• A risk-based premium: what does it nean for DB plan sponsors?
• First passage times of a jump diffusion process
• Jump-diffusion models with constant parameters for financial log-return processes
• Valuation of risk-based premium of DB pension plan with terminations

This page was built for publication: Risk-based premium evaluation with jump diffusion process for PBGC

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6161003)