Apr 2018-Mar 2019

Math-Fi seminar on 19 Jul.

2018.07.10 Tue up
  • Date: 19 Jul. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 15:30-16:30 (First speaker), 16:30-17:30 (Second speaker), 17:30-19:00 (Third speaker) 
 
 
 First speaker: Xiaoshan Su (EMLYON Business School)
  • Title: Pricing Defaultable Participating Contracts with Regime Switching and Jump Risk
(Xiaoshan Su emlyon business school Joint work with Professor Olivier Le Courtois and Professor Francois Quittard Pinon)
  • Abstract:
This paper provides a regime switching jump diffusion framework for pricing defaultable participating life insurance contracts. This framework assumes the value of underlying asset portfolio evolves as a geometric regime switching double exponential jump diffusion and default happens when its value crosses a level with regard to initial policyholder premium. The flexible regime switching double exponential jump diffusion model gives the semi-closed form formula for the price of the life insurance contract and the price can be obtained by further computation using numerical two-sided Laplace inversion method. The Euler summation technique is used to speed up the convergence rate of two-dimensional Laplace inversion method in Cai and Shi (2015) and the ”worst state” is defined to help control the discretion and truncation errors of numerical two-sided Laplace inversion in the regime switching case. An illustration concludes the paper and addresses the respective impacts of different risk sources on the price of the life insurance contracts.

 
 
 Second speaker: Arturo Kohatsu-Higa (Ritsumeikan University)
  • Title: The fundamentals of the ibp formula
 
 
 Third speaker: Linghua Chen (Analyst; Greenfact AS, Oslo, Norway)
  • Title: Numerical path integration methods to SDEs and applications
 

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