We propose a model for valuing participating life insurance products under a generalized jump-diffusion model with a Markov-switching compensator. It also nests a number of important and popular models in finance, including the classesof jump-diffusion models and Markovian regime-switching models. The Esschertransform is employed to determine an equivalent martingale measure. Simulationexperiments are conducted to illustrate the practical implementation of the modeland to highlight some features that can be obtained from our model.
|Journal||Journal of Applied Mathematics and Stochastic Analysis|
|Publication status||Published - 2008|