Discussion on: “A general semi-Markov model for coupled lifetimes”. (English) Zbl 1454.91187

A discussion of [M. Ji and R. Zhou, ibid. 23, No. 1, 98–119 (2019; Zbl 1411.91290)].


91G05 Actuarial mathematics
60J85 Applications of branching processes


Zbl 1411.91290
Full Text: DOI


[1] Dybvig, P. H.; Ross., S. A.; Eatwell, I.; Milgate, M.; Newman, P., The new Palgrave: A dictionary of economics, l, Arbitrage, 100-6 (1987), London, UK: Macmillan, London, UK
[2] Esscher, F., On the probability function in the collective theory of risk, Skandinavisk Aktuarietidskrift, 15, 175-95 (1932) · JFM 58.1177.05
[3] Gerber, H. U.; Shiu, E. S. W., Option pricing by Esscher transforms, Transactions of the Society of Actuaries, 46, 99-140 (1994)
[4] Gerber, H. U.; Shiu., E. S. W., Actuarial bridges to dynamic hedging and option pricing, Insurance: Mathematics and Economics, 18, 183-218 (1996) · Zbl 0896.62112
[5] Lee, H.; Ko, B.; Song., S., Valuing step barrier options and their icicled variations, North American Journal of Economics and Finance, 49, 396-411 (2019)
[6] McDonald, R. L., Derivatives markets (2013), Boston, MA: Pearson, Boston, MA
[7] Raussen, M.; Skau., C., Interview with Srinivasa Varadhan, Notices of the American Mathematical Society, 55, 2, 238-46 (2008) · Zbl 1149.01311
[8] Wang, S., Normalized exponential tilting: pricing and measuring multivariate risks, North American Actuarial Journal, 11, 3, 89-99 (2007)
[9] Wang, X., Discussion on “Capital forbearance, ex ante life insurance guaranty schemes, and interest rate uncertainty.”, North American Actuarial Journal, 20, 1, 88-93 (2016) · Zbl 1414.91242
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.