Pricing and hedging defaultable participating contracts with regime switching and jump risk
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Publication:777938
DOI10.1007/S10203-020-00276-WzbMath1444.91192OpenAlexW3009732932MaRDI QIDQ777938
Olivier Le Courtois, Xiaoshan Su, François Quittard-Pinon
Publication date: 8 July 2020
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10203-020-00276-w
regime switchingcredit riskjump-diffusionmatrix Wiener-Hopf factorizationparticipating life insurance
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Cites Work
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