Risk-based premium evaluation with jump diffusion process for PBGC

DOI10.1080/03610926.2021.1939381OpenAlexW3171749313MaRDI QIDQ6161003FDOQ6161003

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

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zbMATH Keywords

jump diffusion processPBGCpremiumpremature termination

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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

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