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

zbMATH Keywords

equity-linked death benefitsFourier cosine series expansionregime-switching Lévy modelthreshold expense structure

Mathematics Subject Classification ID

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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