马氏机制转换的含跳的O-U随机死亡率模型下看涨期权型长寿风险衍生品的定价
Pricing an Option-Type Longevity Derivative under a Regime-Switching O-U Stochastic Mortality Model with Jumps
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摘要: 本文考虑了一个马氏机制转换的含跳的O-U随机死亡率模型.在该模型中, 我们用一个连续时间有限状态的齐次马氏链来刻画经济和环境的状态.利用测度变换的方法, 我们得到了期权型长寿风险衍生品价格的傅里叶变换的指数仿射型表达公式.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.