In this study, we propose a modelling framework for evaluating companies financed by random liabilities, such as insurance companies or commercial banks. In this approach, earnings and costs are driven by double exponential jump–diffusion processes and bankruptcy is declared when the income...

This paper proposes a multidimensional Lee–Carter model, in which the time dependent components are ruled by switching regime processes. The main feature of this model is its ability to replicate the changes of regimes observed in the mortality evolution. Changes of measure, preserving the...

This paper addresses the calculation of a fair profit sharing rate for participating policies with a minimum interest rate guaranteed. The bonus credited to policies depends on the performance of a basket of two assets: a stock and a zero coupon bond and on the guarantee. The dynamics of the...