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...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.展开更多
基金supported by National Natural Science Foundation of China (Grant Nos.10971068 and 11231005)Shanghai Municipal Natural Science Foundation (Grant No. 12ZR1408300)+3 种基金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
文摘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.
