Pricing an Option-Type Longevity Derivative under a Regime-Switching O-U Stochastic Mortality Model with Jumps

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.