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We investigate the valuation of participating life insurance policies with default risk under a geometric regime-switching jump-diffu\-sion process. We derive explicit formula for the Laplace transform of the price of participating contracts by solving integro-differential system and then price them by inverting Laplace transforms.
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참고문헌 (20)
참고문헌 신청
Joseph Abate / 1992 / The Fourier-series method for inverting transforms of probability distributions / Queueing Systems 10(1-2):5~87
E. Briys / 1994 / Life insurance in a contingent claim framework: pricing and regulatory implications / Geneva Pap. Risk. Ins. Theory 19(1):53~72
E. Briys / 1996 / On the risk of life insurance liabilities: debunking some common pitfalls / J. Risk Ins 64(4):673~694
JOHN BUFFINGTON / 2011 / AMERICAN OPTIONS WITH REGIME SWITCHING / International Journal of Theoretical and Applied Finance 05(05):497~514
P. Carr / 1999 / Option valuation using the fast Fourier transform / J. Comput. Finan 2(4):61~73
E. Briys / 1994 / Life insurance in a contingent claim framework: pricing and regulatory implications / Geneva Pap. Risk. Ins. Theory 19(1):53~72
E. Briys / 1996 / On the risk of life insurance liabilities: debunking some common pitfalls / J. Risk Ins 64(4):673~694
JOHN BUFFINGTON / 2011 / AMERICAN OPTIONS WITH REGIME SWITCHING / International Journal of Theoretical and Applied Finance 05(05):497~514
P. Carr / 1999 / Option valuation using the fast Fourier transform / J. Comput. Finan 2(4):61~73
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