This paper considers the valuation of equity-linked life insurance contracts that offer an annually guaranteed minimum return. The policy premiums are invested in a reference portfolio that is modeled by means of a regime switching Lévy process where the model parameters depend on a continuous,...

The probability of a stochastic process to first breech upper and/or lower levels are important quantities for optimal control and risk management. We present those probabilities for regime switching Brownian motion. In the 2- and 3-state model, the Laplace transform of the (single and double...