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Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model

Yayun Wang, Zhimin Zhang and Wenguang Yu

Applied Mathematics and Computation, 2021, vol. 399, issue C

Abstract: In this paper, we consider the valuation problem of equity-linked annuity with guaranteed minimum death benefit (GMDB) by complex Fourier series method under regime-switching jump diffusion models. We show that the price formulas can be expressed by some discounted density functions associated with the residual lifetime random variable. Fourier transforms for discounted density functions are derived, and complex Fourier series expansion method is applied to recover the discounted density functions. Some explicit formulas for computing the GMDB price are given. Finally, we give some numerical results to show effectiveness of our method.

Keywords: Regime-switching jump diffusion model; CFS; GMDB; Fourier transform (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:399:y:2021:i:c:s0096300321000795

DOI: 10.1016/j.amc.2021.126031

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