Jang, Jiwook; Ramli, Siti Norafidah Mohd - In: Risks : open access journal 6 (2018) 3, pp. 1-17
We explored the effect of the jump-diffusion process on a social benefit scheme consisting of life insurance …. Assuming independent state-wise intensities taking the form of a jump-diffusion process and deterministic interest rates, we … demonstrated the state of the reserves for the scheme under jump-diffusion and non-jump-diffusion settings. By decomposing the …