This paper develops a transform-based approach for the pricing of participating life insurance contracts with a constant or floating guaranteed rate. Our analysis incorporates credit, market (jump), and economic (regime switching) risks, where the evolution of the reference portfolio is described by a regime switching double exponential jump-diffusion model. We provide semi-analytical formulas for the contract value by using a Laplace or Laplace–Fourier transform that involves matrix Wiener–Hopf factors. Then, the price is obtained by implementing the matrix Wiener–Hopf factorization and by performing a numerical Laplace and Fourier inversion. By comparing the results with Monte Carlo simulations, we show that our pricing method is easy to implement and accurate. We also show that the contract with a floating guaranteed rate is riskier but more profitable than the contract with a constant guaranteed rate. Two hedging strategies are introduced to hedge jump and regime switching risks in the participating contracts.

中文翻译：

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对具有制度转换和跳跃风险的违约参与合同进行定价和对冲

本文针对固定利率或浮动担保率的人寿保险合同的定价开发了一种基于变换的方法。我们的分析结合了信用，市场（跳跃）和经济（制度转换）风险，其中参考投资组合的演化由制度转换双指数跳跃扩散模型描述。我们使用涉及矩阵Wiener-Hopf因子的Laplace或Laplace-Fourier变换提供合同价值的半分析公式。然后，通过实施矩阵维纳-霍夫因子分解并执行数值拉普拉斯和傅立叶反演来获得价格。通过将结果与蒙特卡洛模拟进行比较，我们表明我们的定价方法易于实现且准确。我们还显示，浮动利率的合同比固定利率的合同风险更高，但利润更高。引入了两种对冲策略来对冲参与合约中的跳跃风险和制度转换风险。