Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model
DOI10.3934/JIMO.2022007OpenAlexW4212776242MaRDI QIDQ2097450
Wenguang Yu, Zhimin Zhang, Meiqiao Ai
Publication date: 14 November 2022
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2022007
equity-linked death benefitsFourier cosine series expansionregime-switching Lévy modelthreshold expense structure
Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Applications of continuous-time Markov processes on discrete state spaces (60J28) Actuarial mathematics (91G05)
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