Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk

In this paper, we consider an insurance risk model with two-sided jumps, where downward and upward jumps typically represent claim amounts and random gains, respectively. We use the Laguerre series to expand the Gerber–Shiu function and estimate it based on observed information. Moreover, we show that the estimator is easily computed and has a fast convergence rate. Numerical examples are also provided to show the efficiency of our method when the sample size is finite.

show abstract

scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.

Contact Info

customersupport@researchsolutions.com

10624 S. Eastern Ave., Ste. A-614

Henderson, NV 89052, USA

This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.

Blog Terms and Conditions API Terms Privacy Policy Contact Cookie Preferences Do Not Sell or Share My Personal Information

Made with 💙 for researchers

Part of the Research Solutions Family.

Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk

Cited by 4 publications

References 48 publications

Efficient valuation of guaranteed minimum accumulation benefits in regime switching jump diffusion models with lapse risk

Efficient valuation of guaranteed minimum accumulation benefits in regime switching jump diffusion models with lapse risk

Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk

Estimating the Gerber–Shiu Function in the Two-Sided Jumps Risk Model by Laguerre Series Expansion

Contact Info

Product

Resources

About