Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach
type: Item
instance of: scholarly article
title: Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach
zbMATH Open document ID: 1290.91179
author: Farzad Alavi Fard
author: Tak Kuen Siu
published in: Insurance Mathematics \& Economics
publication date: 2014-06-23T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60J75
zbMATH DE Number: 6306916
zbMATH Keywords: participating products
zbMATH Keywords: generalized jump-diffusion model
zbMATH Keywords: Markov-switching compensator
zbMATH Keywords: Esscher transform
zbMATH Keywords: reduction of dimensionality
zbMATH Keywords: collocation method
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2013.09.011
OpenAlex ID: W1978770635
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DOI: 10.1016/J.INSMATHECO.2013.09.011
description: scientific article; zbMATH DE number 6306916