Valuation of equity-indexed annuities with regime-switching jump diffusion risk and stochastic mortality risk  

作　　者：QIAN LinYi WANG RongMing WANG Shuai 

机构地区：[1]School of Finance and Statistics,East China Normal University,Shanghai 200241,China [2]Research Center of International Finance and Risk Management,East China Normal University,Shanghai 200241,China

出　　处：《Science China Mathematics》2012年第11期2335-2346,共12页中国科学：数学（英文版）

基　　金：supported by National Natural Science Foundation of China (Grant Nos.10971068 and 11231005);Shanghai Municipal Natural Science Foundation (Grant No. 12ZR1408300);Humanity and Social Science Youth Foundation of Ministry of Education of China (Grant No. 12YJC910006);Doctoral Program Foundation of the Ministry of Education of China (Grant No. 20110076110004);Program for New Century Excellent Talents in University (Grant No. NCET-09-0356);the Fundamental Research Funds for the Central Universities

摘　　要：This paper extends the model and analysis of Lin, Tan and Yang （2009）. We assume that the financial market follows a regime-switching jump-diffusion model and the mortality satisfies Levy process. We price the point to point and annual reset EIAs by Esscher transform method under Merton＇s assumption and obtain the closed form pricing formulas. Under two cases： with mortality risk and without mortality risk, the effects of the model parameters on the EIAs pricing are illustrated through numerical experiments.This paper extends the model and analysis of Lin,Tan and Yang(2009).We assume that the financial market follows a regime-switching jump-diffusion model and the mortality satisfies Lvy process.We price the point to point and annual reset EIAs by Esscher transform method under Merton's assumption and obtain the closed form pricing formulas.Under two cases:with mortality risk and without mortality risk,the effects of the model parameters on the EIAs pricing are illustrated through numerical experiments.

关 键 词：compound poisson process Levy process stochastic mortality REGIME-SWITCHING equity-indexedannuity 

分 类 号：O211.6[理学—概率论与数理统计] F832.5[理学—数学]