Fard, Farzad Alavi; Siu, Tak Kuen - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 712-721
We propose a model for the valuation of participating life insurance products under a generalized jump–diffusion model with a Markov-switching compensator. The Esscher transform is employed to determine an equivalent martingale measure in the incomplete market. The results are further...