Author: Colaneri, Katia; Frey, Rudiger
Title: Classical solutions of the Backward PIDE for Markov Modulated Marked Point Processes and Applications to CAT Bonds Cord-id: ssoxb91l Document date: 2019_3_18
ID: ssoxb91l
Snippet: The objective of this paper is to give conditions ensuring that the backward partial integro differential equation associated with a multidimensional jump-diffusion with a pure jump component has a unique classical solution; that is the solution is continuous, twice differentiable in the diffusion component and differentiable in time. Our proof uses a probabilistic arguments and extends the results of Pham (1998) to processes with a pure jump component where the jump intensity is modulated by a
Document: The objective of this paper is to give conditions ensuring that the backward partial integro differential equation associated with a multidimensional jump-diffusion with a pure jump component has a unique classical solution; that is the solution is continuous, twice differentiable in the diffusion component and differentiable in time. Our proof uses a probabilistic arguments and extends the results of Pham (1998) to processes with a pure jump component where the jump intensity is modulated by a diffusion process. This result is particularly useful in some applications to pricing and hedging of financial and actuarial instruments, and we provide an example to pricing of CAT bond.
Search related documents:
Co phrase search for related documents- Try single phrases listed below for: 1
Co phrase search for related documents, hyperlinks ordered by date