Valuation of equity-indexed annuities with regime-switching jump diffusion risk and stochastic mortality risk

DOI10.1007/S11425-012-4524-6zbMath1274.60215OpenAlexW1976242879MaRDI QIDQ1934414

Shuai Wang, Lin-Yi Qian, Rong-Ming Wang

Publication date: 28 January 2013

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-012-4524-6

zbMATH Keywords

Lévy processcompound Poisson processregime-switchingstochastic mortalityequity-indexed annuity

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Pricing Equity-indexed Annuities When Discrete Dividends Follow a Markov-Modulated Jump Diffusion Model ⋮ Pricing annuity guarantees under a double regime-switching model

Cites Work

• Unnamed Item
• Valuation of equity-indexed annuity under stochastic mortality and interest rate
• Option pricing and Esscher transform under regime switching
• Valuation of contingent claims with mortality and interest rate risks
• Affine processes for dynamic mortality and actuarial valuations
• Valuation and hedging of life insurance liabilities with systematic mortality risk
• Mortality modelling with Lévy processes
• Minimal entropy martingale measures of jump type price processes in incomplete assets markets
• Option hedging for semimartingales
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• Affine stochastic mortality
• Pricing currency options under two-factor Markov-modulated stochastic volatility models
• Stochastic mortality under measure changes
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
• Pricing of Unit-linked Life Insurance Policies
• Financial Modelling with Jump Processes
• Option pricing when underlying stock returns are discontinuous
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
• Risk-minimizing hedging strategies for insurance payment processes

This page was built for publication: Valuation of equity-indexed annuities with regime-switching jump diffusion risk and stochastic mortality risk