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Article: Pricing participating products under a generalized jump-diffusion model

TitlePricing participating products under a generalized jump-diffusion model
Authors
Siu, TKLau, JWYang, H
Issue Date2008
PublisherHindawi Publishing Corp. The Journal's web site is located at http://www.hindawi.com/journals/jamsa/index.html
Citation
Journal Of Applied Mathematics And Stochastic Analysis, 2008, v. 2008 How to Cite?
DOI: http://dx.doi.org/10.1155/2008/474623
AbstractWe propose a model for valuing participating life insurance products under a generalized jump-diffusion 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 regime-switching 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.
Persistent Identifierhttp://hdl.handle.net/10722/59877
ISSN
1048-9533
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorSiu, TKen_HK
dc.contributor.authorLau, JWen_HK
dc.contributor.authorYang, Hen_HK
dc.date.accessioned2010-05-31T03:59:15Z-
dc.date.available2010-05-31T03:59:15Z-
dc.date.issued2008en_HK
dc.identifier.citationJournal Of Applied Mathematics And Stochastic Analysis, 2008, v. 2008en_HK
dc.identifier.issn1048-9533en_HK
dc.identifier.urihttp://hdl.handle.net/10722/59877-
dc.description.abstractWe propose a model for valuing participating life insurance products under a generalized jump-diffusion 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 regime-switching 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.en_HK
dc.languageengen_HK
dc.publisherHindawi Publishing Corp. The Journal's web site is located at http://www.hindawi.com/journals/jamsa/index.htmlen_HK
dc.relation.ispartofJournal of Applied Mathematics and Stochastic Analysisen_HK
dc.titlePricing participating products under a generalized jump-diffusion modelen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1048-9533&volume=2008&spage=30 &epage=&date=2008&atitle=Pricing+Participating+Products+Under+a+Generalized+Jump-Diffusion+Modelen_HK
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1155/2008/474623en_HK
dc.identifier.scopuseid_2-s2.0-52649087366en_HK
dc.identifier.hkuros159320en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-52649087366&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume2008en_HK
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridSiu, TK=55108012900en_HK
dc.identifier.scopusauthoridLau, JW=16687049100en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK
dc.identifier.issnl1048-9533-

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