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 processPBGCpremature terminationpremium

Mathematics Subject Classification ID

Statistics (62-XX)

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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

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