About: Regime-switching shot-noise processes and longevity bond pricing

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An Entity of Type : schema:ScholarlyArticle, within Data Space : covidontheweb.inria.fr associated with source document(s)

Attributes	Values
type	Academic Article research paper schema:ScholarlyArticle
isDefinedBy	Covid-on-the-Web dataset
has title	Regime-switching shot-noise processes and longevity bond pricing
Creator	Dong, Yinghui Wu, Chongfeng Yuen, Kam
Source	PMC
abstract	In this paper, we consider the valuation of longevity bonds under a regime-switching interest rate and a regimeswitching force of mortality model. The model assumes that the interest rate is driven by economic and environmental conditions described by a homogenous Markov chain and that the stochastic force of mortality is modeled by the sum of a regime-switching Gompertz–Makeham model and a regime-switching shot-noise process. Using the conditional Laplace transform of the regime-switching shot-noise process, we give a formula for the longevity bond price in terms of a couple of system partial differential equations. The pricing formula is also derived by using the concept of stochastic flows and the idea of change of measure.
has issue date	2014-11-20(xsd:dateTime)
bibo:doi	10.1007/s10986-014-9251-y
has license	no-cc
sha1sum (hex)	3726b85e08dca19e80900bcc1d316d9894a29d0c
schema:url	https://doi.org/10.1007/s10986-014-9251-y
resource representing a document's title	Regime-switching shot-noise processes and longevity bond pricing
has PubMed Central identifier	PMC7149022
resource representing a document's body	covid:3726b85e08dca19e80900bcc1d316d9894a29d0c#body_text
is schema:about of	named entity 'CHANGE' named entity 'BONDS' named entity 'SUM' named entity 'regime-switching' named entity 'shot-noise' named entity 'pension' named entity 'natural disasters' named entity 'financial economics' named entity 'regime-switching' named entity 'China' named entity 'forward measure' named entity 'shot-noise' named entity 'risk-neutral valuation' named entity 'Markov chains' named entity 'shot-noise' named entity 'empirical results' named entity '4.2' named entity 'pricing model' named entity 'Markov' named entity 'semimartingale' named entity 'time horizon' named entity 'scalar product' named entity 'probability' named entity 'Markov process' named entity 'Laplace transform' named entity 'stochastic' named entity 'insurance' named entity 'Gompertz-Makeham' named entity 'Longevity risk' named entity 'Vasicek' named entity 'force of mortality' named entity 'increasing function' named entity 'Gompertz-Makeham' named entity 'actuarial' named entity 'force of mortality' named entity 'cash flows' named entity 'Markovian' named entity 'zero-coupon bond' named entity 'risk-neutral measure' named entity 'force of mortality' named entity 'longevity risk' named entity 'regime-switching' named entity 'risk-neutral measure' named entity 'stochastic' named entity 'longevity risk' named entity 'R N' named entity 'regime-switching' named entity '5.1' named entity 'Laplace transform' named entity 'risk-neutral valuation' named entity 'Markov' named entity 'regime-switching' named entity 'probability' named entity 'health technologies' named entity 'zero-coupon bond' named entity 'regime-switching' named entity 'stochastic' named entity 'force of mortality' named entity 'random variables' named entity 'stochastic' named entity 'probability' named entity 'stochastic' named entity 'Figure 8' named entity 'regime-switching' named entity 'lognormal' named entity 'square-integrable' named entity 'forward measure' named entity 'regime-switching' named entity 'deterministic' named entity 'force of mortality' named entity 'Markov chain' named entity 'force of mortality' named entity 'regime-switching' named entity 'pricing model' named entity 'average life expectancy' named entity '2.2' named entity 'probability' named entity 'shot-noise' named entity 'continuous-time' named entity 'regime-switching' named entity '4.2' named entity 'PDEs'

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