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doi:10.3969/j.issn.1001-4268.2018.03.007

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Abstract

In this paper, we propose a regime-switching Ornstein-Uhlenbeck (O-U) stochastic mortality model with jumps, in which the economic and environment conditions are described by a homogenous, finite-state Markov chain. Using the idea of change of measure, we derive an exponential affine form of the fourier transform of a dampened option-type longevity derivative price.

Key words�� Markov chain regime-switching O-U process with jumps longevity derivative

PACS:	49K15
	44A10
	47D07

Fund:

The research of Yinghui Dong was supported by the Natural Science Foundation of Jiangsu Province (Grant No. BK20170064),the National Natural Science Foundation of China (Grant No. 11771320), Qinglan Project and the scholarship of Jiangsu Overseas Visiting ScholarProgram. The research of Chao Xu was supported by the Graduate Innovation Program of Jiangsu Province of China (Grant No. KYCX17-2059).

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	XU Chao
	DONG Yinghui

Cite this article:

XU Chao,DONG Yinghui. Pricing an Option-Type Longevity Derivative under a Regime-Switching O-U Stochastic Mortality Model with Jumps[J]. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2018, 34(3): 297-311.

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http://aps.ecnu.edu.cn/EN/10.3969/j.issn.1001-4268.2018.03.007 OR http://aps.ecnu.edu.cn/EN/Y2018/V34/I3/297