Pricing and hedging defaultable participating contracts with regime switching and jump risk
type: Item
instance of: scholarly article
title: Pricing and hedging defaultable participating contracts with regime switching and jump risk
zbMATH Open document ID: 1444.91192
author: Olivier Le Courtois
author: François Quittard-Pinon
author: Xiaoshan Su
published in: Decisions in Economics and Finance
publication date: 2020-07-08T00:00:00Z
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 60J74
zbMATH DE Number: 7218654
zbMATH Keywords: participating life insurance
zbMATH Keywords: credit risk
zbMATH Keywords: regime switching
zbMATH Keywords: jump-diffusion
zbMATH Keywords: matrix Wiener-Hopf factorization
MaRDI profile type: Publication
full work available at URL: s10203-020-00276-w
OpenAlex ID: W3009732932
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DOI: 10.1007/S10203-020-00276-W
description: scientific article; zbMATH DE number 7218654