Abstract
In this paper, we consider a Markovian, regime-switching model with jumps and its application to bond pricing and insurance. The jumps in the model are described by a compound Cox process, where the arrival intensity of the counting number-process follows a regime-switching shot noise process. Using a martingale method, we derive exponential-affine form expressions for the price of a zero-coupon bond and the joint Laplace transform of the aggregate accumulated claims and the arrival intensity.
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