Risk-based premium evaluation with jump diffusion process for PBGC

DOI10.1080/03610926.2021.1939381OpenAlexW3171749313MaRDI QIDQ6161003

Nan Zhang, Lin Xie, Zhixin Yang, Wei Wang

Publication date: 26 June 2023

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

Full work available at URL: https://doi.org/10.1080/03610926.2021.1939381

zbMATH Keywords

premiumjump diffusion processPBGCpremature termination

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• A risk-based model for the valuation of pension insurance
• A risk-based premium: what does it nean for DB plan sponsors?
• Jump-diffusion models with constant parameters for financial log-return processes
• Valuation of risk-based premium of DB pension plan with terminations
• First passage times of a jump diffusion process

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