Valuation of equity-indexed annuities with regime-switching jump diffusion risk and stochastic mortality risk

This paper extends the model and analysis of Lin, Tan and Yang (2009). We assume that the financial market follows a regime-switching jump-diffusion model and the mortality satisfies Lévy process. We price the point to point and annual reset EIAs by Esscher transform method under Merton's assumption and obtain the closed form pricing formulas. Under two cases: with mortality risk and without mortality risk, the effects of the model parameters on the EIAs pricing are illustrated through numerical experiments.