논문KCI 등재
First passage time under a regime-switching jump-diffusion model and its application in the valuation of participating contracts
대한수학회 (The Korean Mathematical Society)|2019.09|대한수학회보 (Bulletin of the KMS)|제56권 제5호|pp. 1355-1376|DOI 10.4134/BKMS.b181196
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초록
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.
Abstract
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.
참고문헌 (20)
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