대한수학회보 (Bulletin of the Korean Mathematical Society)

  • 제56권5호
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  • Pages.1355-1376
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  • 2019
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  • 1015-8634(pISSN)
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  • 2234-3016(eISSN)
대한수학회 (Korean Mathematical Society)
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FIRST PASSAGE TIME UNDER A REGIME-SWITCHING JUMP-DIFFUSION MODEL AND ITS APPLICATION IN THE VALUATION OF PARTICIPATING CONTRACTS

  • Dong, Yinghui (Department of Mathematics and Physics Suzhou University of Science and Technology) ;
  • Lv, Wenxin (Department of Mathematics and Physics Suzhou University of Science and Technology) ;
  • Wu, Sang (Department of Mathematics and Physics Suzhou University of Science and Technology)
  • 투고 : 2018.12.08
  • 심사 : 2019.06.26
  • 발행 : 2019.09.30
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초록

We investigate the valuation of participating life insurance policies with default risk under a geometric regime-switching jump-diffusion 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

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