Regime-switching pure jump processes and applications in the valuation of mortality-linked products

DOI10.1080/03610926.2017.1319483zbMath1388.49020OpenAlexW2606272378MaRDI QIDQ4634823

Yinghui Dong, Kam-Chuen Yuen, Guo-jing Wang

Publication date: 11 April 2018

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1319483

zbMATH Keywords

Markov chainlongevity bondmultiple-life modelshot noise process with regime switching

Mathematics Subject Classification ID

Markov semigroups and applications to diffusion processes (47D07) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Laplace transform (44A10) Optimality conditions for problems involving ordinary differential equations (49K15)

Uses Software

• Human Mortality

Cites Work

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