Pricing and hedging defaultable participating contracts with regime switching and jump risk

DOI10.1007/S10203-020-00276-WzbMath1444.91192OpenAlexW3009732932MaRDI QIDQ777938

Olivier Le Courtois, Xiaoshan Su, François Quittard-Pinon

Publication date: 8 July 2020

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-020-00276-w

zbMATH Keywords

regime switchingcredit riskjump-diffusionmatrix Wiener-Hopf factorizationparticipating life insurance

Mathematics Subject Classification ID

Credit risk (91G40) Actuarial mathematics (91G05) Jump processes on discrete state spaces (60J74)

Related Items (1)

Randomization and the valuation of guaranteed minimum death benefits

Cites Work

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