Pricing Participating Products under a Generalized Jump-Diffusion Model

Tak Kuen Siu; John Lau; Hailiang Yang

doi:10.1155/2008/474623

Pricing Participating Products under a Generalized Jump-Diffusion Model

Tak Kuen Siu, John Lau, Hailiang Yang^*

^*Corresponding author for this work

The University of Hong Kong

Research output: Contribution to journal › Article › peer-review

29 Citations (Scopus)

Abstract

We propose a model for valuing participating life insurance products under a generalized jumpdiffusion model with a Markov-switching compensator. It also nests a number of important and
popular models in finance, including the classes of jump-diffusion models and Markovian regimeswitching models. The Esscher transform is employed to determine an equivalent martingale
measure. Simulation experiments are conducted to illustrate the practical implementation of the
model and to highlight some features that can be obtained from our model

Original language	English
Pages (from-to)	1-30
Journal	Journal of Applied Mathematics and Stochastic Analysis
Volume	2008
DOIs	https://doi.org/10.1155/2008/474623
Publication status	Published - 2008
Externally published	Yes

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abstract = "We propose a model for valuing participating life insurance products under a generalized jumpdiffusion model with a Markov-switching compensator. It also nests a number of important andpopular models in finance, including the classes of jump-diffusion models and Markovian regimeswitching models. The Esscher transform is employed to determine an equivalent martingalemeasure. Simulation experiments are conducted to illustrate the practical implementation of themodel and to highlight some features that can be obtained from our model",

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AB - We propose a model for valuing participating life insurance products under a generalized jumpdiffusion model with a Markov-switching compensator. It also nests a number of important andpopular models in finance, including the classes of jump-diffusion models and Markovian regimeswitching models. The Esscher transform is employed to determine an equivalent martingalemeasure. Simulation experiments are conducted to illustrate the practical implementation of themodel and to highlight some features that can be obtained from our model

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JO - Journal of Applied Mathematics and Stochastic Analysis

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Pricing Participating Products under a Generalized Jump-Diffusion Model

Abstract

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