A regime-switching model with jumps and its application to bond pricing and insurance
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Publication:2834907
DOI10.1142/S0219493716500234zbMath1352.60111MaRDI QIDQ2834907
Yinghui Dong, Guo-jing Wang, Kam-Chuen Yuen
Publication date: 25 November 2016
Published in: Stochastics and Dynamics (Search for Journal in Brave)
Markov processesinsurancezero-coupon bondaggregate accumulated claimsregime-switching shot noise process
Gaussian processes (60G15) Markov semigroups and applications to diffusion processes (47D07) Laplace transform (44A10) Continuous-time Markov processes on discrete state spaces (60J27)
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- Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform
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- AMERICAN OPTIONS WITH REGIME SWITCHING
- Risk theory in a Markovian environment
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