Pricing and hedging defaultable participating contracts with regime switching and jump risk
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Recommendations
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Cites work
- scientific article; zbMATH DE number 3668767 (Why is no real title available?)
- scientific article; zbMATH DE number 3763003 (Why is no real title available?)
- scientific article; zbMATH DE number 3763004 (Why is no real title available?)
- A Lévy process-based framework for the fair valuation of participating life insurance contracts
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A model for interest rates with clustering effects
- Calibration and hedging under jump diffusion
- Cliquet-style return guarantees in a regime switching Lévy model
- Computing the invariant law of a fluid model
- Development and pricing of a new participating contract
- Early default risk and surrender risk: impacts on participating life insurance policies
- Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
- Exotic derivatives under stochastic volatility models with jumps
- Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
- Fair valuation of insurance contracts under Lévy process specifications
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Fair valuation of participating policies with surrender options and regime switching
- Fair valuation of path-dependent participating life insurance contracts.
- First passage times of a jump diffusion process
- Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
- Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
- Hedging guarantees in variable annuities under both equity and interest rate risks
- Indifference pricing of a life insurance portfolio with systematic mortality risk in a market with an asset driven by a Lévy process
- Market value of life insurance contracts under stochastic interest rates and default risk
- Multivariate Hawkes processes: an application to financial data
- On perpetual American put valuation and first-passage in a regime-switching model with jumps
- On surrender and default risks
- Option Pricing With Markov-Modulated Dynamics
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
- Pricing annuity guarantees under a double regime-switching model
- Pricing annuity guarantees under a regime-switching model
- Pricing equity-linked pure endowments with risky assets that follow Lévy processes
- Pricing participating products under a generalized jump-diffusion model
- Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach
- Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model
- Russian and American put options under exponential phase-type Lévy models.
- Semi-static hedging of variable annuities
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
- Stochastic volatility Gaussian Heath-Jarrow-Morton models
- THE WIENER-HOPF TECHNIQUE AND DISCRETELY MONITORED PATH-DEPENDENT OPTION PRICING
- Valuing equity-linked death benefits in a regime-switching framework
Cited in
(6)- FIRST PASSAGE TIME UNDER A REGIME-SWITCHING JUMP-DIFFUSION MODEL AND ITS APPLICATION IN THE VALUATION OF PARTICIPATING CONTRACTS
- Pricing and hedging contingent claims with regime switching risk
- The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk
- Pricing participating products under a generalized jump-diffusion model
- Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach
- Randomization and the valuation of guaranteed minimum death benefits
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