Variable annuities are usually sold with a range of guarantees that protect annuity holders from some downside market risk. Although it is common to see variable annuity guarantees written on multiple funds, existing pricing methods are, by and large, based on stochastic processes for one single...

We consider the optimal dividend distribution problem of a financial corporation whose surplus is modeled by a general diffusion process with both the drift and diffusion coefficients depending on the external economic regime as well as the surplus itself through general functions. The aim is to...

In this paper, we discuss three different approaches to select an equivalent martingale measure for the valuation of contingent claims under a Markovian regime-switching Lévy model. These approaches are the game theoretic approach, the Esscher transformation approach and the general equilibrium...

In this paper, we propose a new drawdown-based regime-switching (DBRS) Lévy insurance model in which the underlying drawdown process is used to model an insurer’s level of financial distress over time, and to trigger regime-switching transitions. By some analytical arguments, we derive...