Pricing and hedging defaultable participating contracts with regime switching and jump risk

Olivier Le Courtois, François Quittard-Pinon, Xiaoshan Su

Year of publication:	2020
Authors:	Le Courtois, Olivier ; Quittard-Pinon, François ; Su, Xiaoshan
Published in:	Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 43.2020, 1, p. 303-339
Subject:	Participating life insurance \| Credit risk \| Regime switching \| Jump-diffusion \| Matrix Wiener-Hopf factorization \| Kreditrisiko \| Lebensversicherung \| Life insurance \| Hedging \| Optionspreistheorie \| Option pricing theory \| Risikomodell \| Risk model \| Markov-Kette \| Markov chain \| Portfolio-Management \| Portfolio selection

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