Sharma, Nitu; Pasricha, Puneet; Selvamuthu, Dharmaraja Valuation of equity-indexed annuities under correlated jump-diffusion processes. (English) Zbl 1471.91481 J. Comput. Appl. Math. 395, Article ID 113575, 14 p. (2021). Reviewer: George Stoica (Saint John) MSC: 91G05 91G30 60J76 PDF BibTeX XML Cite \textit{N. Sharma} et al., J. Comput. Appl. Math. 395, Article ID 113575, 14 p. (2021; Zbl 1471.91481) Full Text: DOI OpenURL
Jeon, Junkee; Yoon, Ji-Hun; Park, Chang-Rae The pricing of dynamic fund protection with default risk. (English) Zbl 1377.91159 J. Comput. Appl. Math. 333, 116-130 (2018). MSC: 91G20 91G40 91G60 PDF BibTeX XML Cite \textit{J. Jeon} et al., J. Comput. Appl. Math. 333, 116--130 (2018; Zbl 1377.91159) Full Text: DOI OpenURL
Gan, Guojun; Lin, X. Sheldon Efficient Greek calculation of variable annuity portfolios for dynamic hedging: a two-level metamodeling approach. (English) Zbl 1414.91188 N. Am. Actuar. J. 21, No. 2, 161-177 (2017). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{G. Gan} and \textit{X. S. Lin}, N. Am. Actuar. J. 21, No. 2, 161--177 (2017; Zbl 1414.91188) Full Text: DOI OpenURL
Gan, Guojun; Valdez, Emiliano A. Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets. (English) Zbl 1390.91320 Depend. Model. 5, 354-374 (2017). MSC: 91G60 65C05 91G10 PDF BibTeX XML Cite \textit{G. Gan} and \textit{E. A. Valdez}, Depend. Model. 5, 354--374 (2017; Zbl 1390.91320) Full Text: DOI OpenURL
Dendievel, Sarah; Latouche, Guy Approximations for time-dependent distributions in Markovian fluid models. (English) Zbl 1360.60145 Methodol. Comput. Appl. Probab. 19, No. 1, 285-309 (2017). MSC: 60J25 60G50 65C50 PDF BibTeX XML Cite \textit{S. Dendievel} and \textit{G. Latouche}, Methodol. Comput. Appl. Probab. 19, No. 1, 285--309 (2017; Zbl 1360.60145) Full Text: DOI arXiv OpenURL
Jeon, Junkee; Han, Heejae; Kang, Myungjoo Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation. (English) Zbl 1354.35162 J. Comput. Appl. Math. 313, 218-234 (2017). MSC: 35Q91 91G20 35R35 65R10 65R30 PDF BibTeX XML Cite \textit{J. Jeon} et al., J. Comput. Appl. Math. 313, 218--234 (2017; Zbl 1354.35162) Full Text: DOI OpenURL
Jin, Zhuo; Qian, Linyi; Wang, Wei; Wang, Rongming Pricing dynamic fund protections with regime switching. (English) Zbl 1329.91130 J. Comput. Appl. Math. 297, 13-25 (2016). MSC: 91G20 91B30 62M02 PDF BibTeX XML Cite \textit{Z. Jin} et al., J. Comput. Appl. Math. 297, 13--25 (2016; Zbl 1329.91130) Full Text: DOI OpenURL
Orozco-Garcia, Carolina; Schmeiser, Hato How sensitive is the pricing of lookback and interest rate guarantees when changing the modelling assumptions? (English) Zbl 1348.91294 Insur. Math. Econ. 65, 77-93 (2015). MSC: 91G70 91G20 62P05 PDF BibTeX XML Cite \textit{C. Orozco-Garcia} and \textit{H. Schmeiser}, Insur. Math. Econ. 65, 77--93 (2015; Zbl 1348.91294) Full Text: DOI OpenURL
Jin, Zhuo; Qian, Linyi Lookback option pricing for regime-switching jump diffusion models. (English) Zbl 1347.91234 Math. Control Relat. Fields 5, No. 2, 237-258 (2015). MSC: 91G60 65C05 65C40 60J75 91G20 PDF BibTeX XML Cite \textit{Z. Jin} and \textit{L. Qian}, Math. Control Relat. Fields 5, No. 2, 237--258 (2015; Zbl 1347.91234) Full Text: DOI OpenURL
Gan, Guojun; Lin, X. Sheldon Valuation of large variable annuity portfolios under nested simulation: a functional data approach. (English) Zbl 1318.91112 Insur. Math. Econ. 62, 138-150 (2015). MSC: 91B30 91G20 PDF BibTeX XML Cite \textit{G. Gan} and \textit{X. S. Lin}, Insur. Math. Econ. 62, 138--150 (2015; Zbl 1318.91112) Full Text: DOI OpenURL
Qian, Lin-Yi; Wang, Wei; Wang, Rong-Ming Risk-minimizing hedging strategy for an equity-indexed annuity under a regime switching model. (English) Zbl 1326.60111 Acta Math. Appl. Sin., Engl. Ser. 31, No. 1, 101-110 (2015). MSC: 60J28 60J27 91B30 91G80 PDF BibTeX XML Cite \textit{L.-Y. Qian} et al., Acta Math. Appl. Sin., Engl. Ser. 31, No. 1, 101--110 (2015; Zbl 1326.60111) Full Text: DOI OpenURL
Xu, Lin; Shen, Guangjun; Yao, Dingjun Pricing of equity indexed annuity under fractional Brownian motion model. (English) Zbl 1471.91489 Abstr. Appl. Anal. 2014, Article ID 380718, 9 p. (2014). MSC: 91G05 60G22 PDF BibTeX XML Cite \textit{L. Xu} et al., Abstr. Appl. Anal. 2014, Article ID 380718, 9 p. (2014; Zbl 1471.91489) Full Text: DOI OpenURL
Qian, Linyi; Wang, Rongming; Zhao, Qian Valuation of equity-indexed annuities with stochastic interest rate and jump diffusion. (English) Zbl 1297.91140 Commun. Stat., Theory Methods 43, No. 14, 2870-2885 (2014). MSC: 91G30 91G60 62P05 60J70 PDF BibTeX XML Cite \textit{L. Qian} et al., Commun. Stat., Theory Methods 43, No. 14, 2870--2885 (2014; Zbl 1297.91140) Full Text: DOI OpenURL
Wei, Xiao; Gaudenzi, Marcellino; Zanette, Antonino Pricing ratchet equity-indexed annuities with early surrender risk in a CIR\(++\) model. (English) Zbl 1412.91058 N. Am. Actuar. J. 17, No. 3, 229-252 (2013). MSC: 91B30 91G60 41A60 PDF BibTeX XML Cite \textit{X. Wei} et al., N. Am. Actuar. J. 17, No. 3, 229--252 (2013; Zbl 1412.91058) Full Text: DOI Link OpenURL
Gan, Guojun Application of data clustering and machine learning in variable annuity valuation. (English) Zbl 1290.91086 Insur. Math. Econ. 53, No. 3, 795-801 (2013). MSC: 91B30 62P05 62H30 68T05 91G20 PDF BibTeX XML Cite \textit{G. Gan}, Insur. Math. Econ. 53, No. 3, 795--801 (2013; Zbl 1290.91086) Full Text: DOI OpenURL
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang Valuing equity-linked death benefits and other contingent options: a discounted density approach. (English) Zbl 1284.91233 Insur. Math. Econ. 51, No. 1, 73-92 (2012). MSC: 91B30 91G20 60G40 60H30 PDF BibTeX XML Cite \textit{H. U. Gerber} et al., Insur. Math. Econ. 51, No. 1, 73--92 (2012; Zbl 1284.91233) Full Text: DOI Link OpenURL
Qian, Linyi; Wang, Wei; Wang, Rongming; Tang, Yincai Valuation of equity-indexed annuity under stochastic mortality and interest rate. (English) Zbl 1231.91446 Insur. Math. Econ. 47, No. 2, 123-129 (2010). MSC: 91G20 91G30 91B30 PDF BibTeX XML Cite \textit{L. Qian} et al., Insur. Math. Econ. 47, No. 2, 123--129 (2010; Zbl 1231.91446) Full Text: DOI OpenURL
Morozov, V. V.; Muravei, D. L. The price of a lookback option as the solution of a boundary-value problem for the heat equation. (English. Russian original) Zbl 1180.91292 Comput. Math. Model. 20, No. 1, 65-70 (2009); translation from Prikl. Mat. Inf. 28, 66-72 (2008). MSC: 91G20 35K05 35K20 PDF BibTeX XML Cite \textit{V. V. Morozov} and \textit{D. L. Muravei}, Comput. Math. Model. 20, No. 1, 65--70 (2009; Zbl 1180.91292); translation from Prikl. Mat. Inf. 28, 66--72 (2008) Full Text: DOI OpenURL
Kijima, Masaaki; Wong, Tony Pricing of Ratchet equity-indexed annuities under stochastic interest rates. (English) Zbl 1141.91457 Insur. Math. Econ. 41, No. 3, 317-338 (2007). MSC: 91B28 91B82 PDF BibTeX XML Cite \textit{M. Kijima} and \textit{T. Wong}, Insur. Math. Econ. 41, No. 3, 317--338 (2007; Zbl 1141.91457) Full Text: DOI OpenURL
Fung, Hon-Kwok; Li, Leong Kwan Pricing discrete dynamic fund protections. (English) Zbl 1084.91506 N. Am. Actuar. J. 7, No. 4, 23-31 (2003). MSC: 91B28 62P05 PDF BibTeX XML Cite \textit{H.-K. Fung} and \textit{L. K. Li}, N. Am. Actuar. J. 7, No. 4, 23--31 (2003; Zbl 1084.91506) Full Text: DOI OpenURL