Pricing Participating Products under a Generalized Jump-Diffusion Model

[摘要] We propose a model for valuing participating life insurance products under ageneralized jump-diffusion model with a Markov-switching compensator. It alsonests a number of important and popular models in finance, including the classesof jump-diffusion models and Markovian regime-switching models. The Esschertransform is employed to determine an equivalent martingale measure. Simulationexperiments are conducted to illustrate the practical implementation of the modeland to highlight some features that can be obtained from our model.

[学科分类] 应用数学