摘要
本文考虑了一个马氏机制转换的含跳的O-U随机死亡率模型.在该模型中,我们用一个连续时间有限状态的齐次马氏链来刻画经济和环境的状态.利用测度变换的方法,我们得到了期权型长寿风险衍生品价格的傅里叶变换的指数仿射型表达公式.
In this paper,we propose a regime-switching Ornstein-Uhlenbeck(O-U)stochastic mortality model with jumps,in which the economic and environment conditions are described by a homogenous,finite-state Markov chain.Using the idea of change of measure,we derive an exponential ane form of the fourier transform of a dampened option-type longevity derivative price.
作者
许超
董迎辉
XU Chao;DONG Yinghui(School of Mathematics and Physics,Suzhou University of Science and Technology,Suzhou,215009,China)
出处
《应用概率统计》
CSCD
北大核心
2018年第3期297-311,共15页
Chinese Journal of Applied Probability and Statistics
基金
Yinghui Dong was supported by the Natural Science Foundation of Jiangsu Province(Grant No.BK20170064)
the National Natural Science Foundation of China(Grant No.11771320)
Qinglan Project and the scholarship of Jiangsu Overseas Visiting Scholar Program
Chao Xu was supported by the Graduate Innovation Program of Jiangsu Province of China(Grant No.KYCX17-2059)
