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| 引用本文： | ??,?????.?????????????????O-U??????????????????????????????????????[J].应用概率统计,2018,34(3):297-311. |
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| 作者姓名： | ?? ????? |
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| 作者单位： | ???????????????, ????, 215009 |
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| 摘 要： |
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| 关 键 词： | ?????? ??????? ??????O-U???? ???????????? |
Pricing an Option-Type Longevity Derivative under a Regime-Switching O-U Stochastic Mortality Model with Jumps |
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| XU Chao,DONG Yinghui.Pricing an Option-Type Longevity Derivative under a Regime-Switching O-U Stochastic Mortality Model with Jumps[J].Chinese Journal of Applied Probability and Statisties,2018,34(3):297-311. |
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| Authors: | XU Chao DONG Yinghui |
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| Institution: | School of Mathematics and Physics, Suzhou University of Science and Technology, Suzhou, 215009, China |
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| Abstract: | In this paper, we propose a regime-switching Ornstein-Uhlenbeck (O-U) stochastic mortality model with jumps, in whichthe economic and environment conditions are described by a homogenous, finite-state Markov chain. Using the idea of change of measure, we derive an exponential affine form of the fourier transform of a dampened option-type longevity derivative price. |
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| Keywords: | Markov chain regime-switching O-U process with jumps longevity derivative |
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