Regime-switching pure jump processes and applications in the valuation of mortality-linked products

Yinghui Dong, Kam Chuen Yuen and Guojing Wang

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 6, 1372-1391

Abstract: In this paper, we study the pricing of longevity bonds and an insurance contract on multiple lives in a regime-switching market driven by an underlying continuous-time Markov chain. For modeling dependent mortality, we make use of a Markov chain and some shot noise processes with regime switching. By using a martingale method, we give semi-analytical expressions for the price of longevity bonds and the premium of an insurance contract on the kth person to die.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:47:y:2018:i:6:p:1372-1391

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DOI: 10.1080/03610926.2017.1319483

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