Zheng, Jing; Yu, Dongjie; Zhu, Bin; Tong, Changqing Learning hidden Markov models with unknown number of states. (English) Zbl 07491730 Physica A 594, Article ID 127047, 10 p. (2022). MSC: 82-XX PDF BibTeX XML Cite \textit{J. Zheng} et al., Physica A 594, Article ID 127047, 10 p. (2022; Zbl 07491730) Full Text: DOI OpenURL
Kim, Jerim; Kim, Bara; Kim, Jeongsim; Lee, Sungji Computation of powered option prices under a general model for underlying asset dynamics. (English) Zbl 1483.91233 J. Comput. Appl. Math. 406, Article ID 113999, 24 p. (2022). MSC: 91G20 44A10 60H30 PDF BibTeX XML Cite \textit{J. Kim} et al., J. Comput. Appl. Math. 406, Article ID 113999, 24 p. (2022; Zbl 1483.91233) Full Text: DOI OpenURL
Bégin, Jean-François On complex economic scenario generators: is less more? (English) Zbl 1480.91184 ASTIN Bull. 51, No. 3, 779-812 (2021). MSC: 91G05 PDF BibTeX XML Cite \textit{J.-F. Bégin}, ASTIN Bull. 51, No. 3, 779--812 (2021; Zbl 1480.91184) Full Text: DOI OpenURL
Carbonneau, Alexandre; Godin, Frédéric Equal risk pricing of derivatives with deep hedging. (English) Zbl 1476.91177 Quant. Finance 21, No. 4, 593-608 (2021). MSC: 91G20 68T07 91G70 PDF BibTeX XML Cite \textit{A. Carbonneau} and \textit{F. Godin}, Quant. Finance 21, No. 4, 593--608 (2021; Zbl 1476.91177) Full Text: DOI arXiv OpenURL
Zheng, Kai; Li, Yuying; Xu, Weidong Regime switching model estimation: spectral clustering hidden Markov model. (English) Zbl 1476.62172 Ann. Oper. Res. 303, No. 1-2, 297-319 (2021). MSC: 62M02 62M05 62P05 60J60 91G10 PDF BibTeX XML Cite \textit{K. Zheng} et al., Ann. Oper. Res. 303, No. 1--2, 297--319 (2021; Zbl 1476.62172) Full Text: DOI OpenURL
Godin, Frédéric; Trottier, Denis-Alexandre Option pricing in regime-switching frameworks with the extended Girsanov principle. (English) Zbl 1467.91185 Insur. Math. Econ. 99, 116-129 (2021). MSC: 91G20 91G60 PDF BibTeX XML Cite \textit{F. Godin} and \textit{D.-A. Trottier}, Insur. Math. Econ. 99, 116--129 (2021; Zbl 1467.91185) Full Text: DOI OpenURL
Ho, Hwai-Chung; Chen, Hung-Yin; Tsai, Henghsiu Non-parametric estimation of conditional tail expectation for long-horizon returns. (English) Zbl 1466.62283 Stat. Sin. 31, No. 1, 547-569 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 62G07 62G10 62G20 62G32 62P05 PDF BibTeX XML Cite \textit{H.-C. Ho} et al., Stat. Sin. 31, No. 1, 547--569 (2021; Zbl 1466.62283) Full Text: DOI OpenURL
Xu, Chao; Dong, Yinghui; Tian, Zhaolu; Wang, Guojing Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level. (English) Zbl 1476.91194 J. Ind. Manag. Optim. 16, No. 6, 2603-2623 (2020). MSC: 91G20 62P20 PDF BibTeX XML Cite \textit{C. Xu} et al., J. Ind. Manag. Optim. 16, No. 6, 2603--2623 (2020; Zbl 1476.91194) Full Text: DOI OpenURL
Dang, Ou; Feng, Mingbin; Hardy, Mary R. Efficient nested simulation for conditional tail expectation of variable annuities. (English) Zbl 1454.91176 N. Am. Actuar. J. 24, No. 2, 187-210 (2020). MSC: 91G05 PDF BibTeX XML Cite \textit{O. Dang} et al., N. Am. Actuar. J. 24, No. 2, 187--210 (2020; Zbl 1454.91176) Full Text: DOI OpenURL
Lindskog, Filip; Majumder, Abhishek Pal Exact long time behavior of some regime switching stochastic processes. (English) Zbl 1455.60106 Bernoulli 26, No. 4, 2572-2604 (2020). MSC: 60J60 60J27 PDF BibTeX XML Cite \textit{F. Lindskog} and \textit{A. P. Majumder}, Bernoulli 26, No. 4, 2572--2604 (2020; Zbl 1455.60106) Full Text: DOI arXiv Euclid OpenURL
Wu, Yuan; Liang, Jin Free boundaries of credit rating migration in switching macro regions. (English) Zbl 1441.35241 Math. Control Relat. Fields 10, No. 2, 257-274 (2020). MSC: 35Q91 35R35 35K40 PDF BibTeX XML Cite \textit{Y. Wu} and \textit{J. Liang}, Math. Control Relat. Fields 10, No. 2, 257--274 (2020; Zbl 1441.35241) Full Text: DOI OpenURL
Mitra, Sovan Downside risk measurement in regime switching stochastic volatility. (English) Zbl 1437.91461 J. Comput. Appl. Math. 378, Article ID 112845, 17 p. (2020). MSC: 91G70 62P05 PDF BibTeX XML Cite \textit{S. Mitra}, J. Comput. Appl. Math. 378, Article ID 112845, 17 p. (2020; Zbl 1437.91461) Full Text: DOI OpenURL
Lin, Yufeng; Wu, Yuehua; Wang, Xiaogang; Ding, Hao A segmented generalized Markov regime-switching model with its application in financial time series data. (English) Zbl 07194316 J. Stat. Comput. Simulation 90, No. 5, 839-853 (2020). MSC: 60J22 62C12 65C40 PDF BibTeX XML Cite \textit{Y. Lin} et al., J. Stat. Comput. Simulation 90, No. 5, 839--853 (2020; Zbl 07194316) Full Text: DOI OpenURL
Lin, X. Sheldon; Yang, Shuai Fast and efficient nested simulation for large variable annuity portfolios: a surrogate modeling approach. (English) Zbl 1435.91158 Insur. Math. Econ. 91, 85-103 (2020). MSC: 91G05 62P05 62J02 PDF BibTeX XML Cite \textit{X. S. Lin} and \textit{S. Yang}, Insur. Math. Econ. 91, 85--103 (2020; Zbl 1435.91158) Full Text: DOI OpenURL
Grimm, Stefanie; Erlwein-Sayer, Christina; Mamon, Rogemar Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation. (English) Zbl 1433.91182 Nonlinear Anal., Hybrid Syst. 35, Article ID 100814, 20 p. (2020). MSC: 91G30 93E11 PDF BibTeX XML Cite \textit{S. Grimm} et al., Nonlinear Anal., Hybrid Syst. 35, Article ID 100814, 20 p. (2020; Zbl 1433.91182) Full Text: DOI OpenURL
Hartman, Brian; Groendyke, Chris; Engler, David Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing. (English) Zbl 1433.91133 Scand. Actuar. J. 2020, No. 2, 152-171 (2020). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{B. Hartman} et al., Scand. Actuar. J. 2020, No. 2, 152--171 (2020; Zbl 1433.91133) Full Text: DOI OpenURL
Endres, Sylvia; Stübinger, Johannes A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns. (English) Zbl 1422.91801 Quant. Finance 19, No. 10, 1727-1740 (2019). MSC: 91G99 60J60 PDF BibTeX XML Cite \textit{S. Endres} and \textit{J. Stübinger}, Quant. Finance 19, No. 10, 1727--1740 (2019; Zbl 1422.91801) Full Text: DOI Link OpenURL
Bi, Junna; Liang, Zhibin; Yuen, Kam Chuen Optimal mean-variance investment/reinsurance with common shock in a regime-switching market. (English) Zbl 1429.62459 Math. Methods Oper. Res. 90, No. 1, 109-135 (2019). MSC: 62P05 91G05 91G10 93E20 PDF BibTeX XML Cite \textit{J. Bi} et al., Math. Methods Oper. Res. 90, No. 1, 109--135 (2019; Zbl 1429.62459) Full Text: DOI OpenURL
Hainaut, Donatien; Moraux, Franck A switching self-exciting jump diffusion process for stock prices. (English) Zbl 1417.91502 Ann. Finance 15, No. 2, 267-306 (2019). MSC: 91G20 60G55 60J75 PDF BibTeX XML Cite \textit{D. Hainaut} and \textit{F. Moraux}, Ann. Finance 15, No. 2, 267--306 (2019; Zbl 1417.91502) Full Text: DOI Link OpenURL
Li, Hengguang; Mollapourasl, Reza; Haghi, Majid A local radial basis function method for pricing options under the regime switching model. (English) Zbl 1417.91557 J. Sci. Comput. 79, No. 1, 517-541 (2019). MSC: 91G60 91G20 65M06 60G40 PDF BibTeX XML Cite \textit{H. Li} et al., J. Sci. Comput. 79, No. 1, 517--541 (2019; Zbl 1417.91557) Full Text: DOI OpenURL
Lin, Chuangwei; Zeng, Li; Wu, Huiling Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase. (English) Zbl 1415.91267 J. Ind. Manag. Optim. 15, No. 1, 401-427 (2019). MSC: 91G10 91G80 90C90 PDF BibTeX XML Cite \textit{C. Lin} et al., J. Ind. Manag. Optim. 15, No. 1, 401--427 (2019; Zbl 1415.91267) Full Text: DOI OpenURL
Godin, Frédéric; Lai, Van Son; Trottier, Denis-Alexandre Option pricing under regime-switching models: novel approaches removing path-dependence. (English) Zbl 1410.91448 Insur. Math. Econ. 87, 130-142 (2019). MSC: 91G20 60G44 60J20 PDF BibTeX XML Cite \textit{F. Godin} et al., Insur. Math. Econ. 87, 130--142 (2019; Zbl 1410.91448) Full Text: DOI OpenURL
Zhou, Zhiqiang; Ma, Jingtang; Gao, Xuemei Convergence of iterative Laplace transform methods for a system of fractional PDEs and PIDEs arising in option pricing. (English) Zbl 1462.35012 East Asian J. Appl. Math. 8, No. 4, 782-808 (2018). MSC: 35A22 35R11 35R09 35R60 91G20 91G60 91G80 PDF BibTeX XML Cite \textit{Z. Zhou} et al., East Asian J. Appl. Math. 8, No. 4, 782--808 (2018; Zbl 1462.35012) Full Text: DOI Link OpenURL
Yousuf, M.; Khaliq, Abdul Q. M.; Alrabeei, Salah Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model. (English) Zbl 1415.91322 Comput. Math. Appl. 75, No. 8, 2989-3001 (2018). MSC: 91G60 65M06 91G20 60G40 60J75 65M12 PDF BibTeX XML Cite \textit{M. Yousuf} et al., Comput. Math. Appl. 75, No. 8, 2989--3001 (2018; Zbl 1415.91322) Full Text: DOI OpenURL
Zhang, Saisai; Hardy, Mary; Saunders, David Updating Wilkie’s economic scenario generator for U.S. applications. (English) Zbl 1411.91415 N. Am. Actuar. J. 22, No. 4, 600-622 (2018). MSC: 91B64 91G30 91G50 PDF BibTeX XML Cite \textit{S. Zhang} et al., N. Am. Actuar. J. 22, No. 4, 600--622 (2018; Zbl 1411.91415) Full Text: DOI OpenURL
Lin, Chuangwei; Wu, Huiling Multiperiod Telser’s safety-first portfolio selection with regime switching. (English) Zbl 1422.91656 Discrete Dyn. Nat. Soc. 2018, Article ID 1832926, 18 p. (2018). MSC: 91G10 PDF BibTeX XML Cite \textit{C. Lin} and \textit{H. Wu}, Discrete Dyn. Nat. Soc. 2018, Article ID 1832926, 18 p. (2018; Zbl 1422.91656) Full Text: DOI OpenURL
Mollapourasl, Reza; Haghi, Majid; Liu, Ruihua Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model. (English) Zbl 1416.91404 Appl. Numer. Math. 134, 81-104 (2018). MSC: 91G60 91G20 60J75 60G40 65M06 PDF BibTeX XML Cite \textit{R. Mollapourasl} et al., Appl. Numer. Math. 134, 81--104 (2018; Zbl 1416.91404) Full Text: DOI OpenURL
Ye, C.; Liu, R. H.; Ren, D. Optimal asset allocation with stochastic interest rates in regime-switching models. (English) Zbl 1396.91708 Int. J. Theor. Appl. Finance 21, No. 5, Article ID 1850032, 32 p. (2018). MSC: 91G10 91G30 93E20 PDF BibTeX XML Cite \textit{C. Ye} et al., Int. J. Theor. Appl. Finance 21, No. 5, Article ID 1850032, 32 p. (2018; Zbl 1396.91708) Full Text: DOI OpenURL
Xu, Wei; Chen, Yuehuan; Coleman, Conrad; Coleman, Thomas F. Moment matching machine learning methods for risk management of large variable annuity portfolios. (English) Zbl 1401.91525 J. Econ. Dyn. Control 87, 1-20 (2018). MSC: 91G10 62P05 PDF BibTeX XML Cite \textit{W. Xu} et al., J. Econ. Dyn. Control 87, 1--20 (2018; Zbl 1401.91525) Full Text: DOI OpenURL
Trottier, Denis-Alexandre; Godin, Frédéric; Hamel, Emmanuel Local hedging of variable annuities in the presence of basis risk. (English) Zbl 1390.91213 ASTIN Bull. 48, No. 2, 611-646 (2018). MSC: 91B30 91G20 91G70 PDF BibTeX XML Cite \textit{D.-A. Trottier} et al., ASTIN Bull. 48, No. 2, 611--646 (2018; Zbl 1390.91213) Full Text: DOI OpenURL
Ma, Jingtang; Tang, Hongji; Zhu, Song-Ping Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates. (English) Zbl 1390.91321 Int. J. Comput. Math. 95, No. 2, 341-360 (2018). MSC: 91G60 65C40 65M06 91G20 PDF BibTeX XML Cite \textit{J. Ma} et al., Int. J. Comput. Math. 95, No. 2, 341--360 (2018; Zbl 1390.91321) Full Text: DOI Link OpenURL
Dong, Yinghui; Yuen, Kam Chuen; Wang, Guojing Regime-switching pure jump processes and applications in the valuation of mortality-linked products. (English) Zbl 1388.49020 Commun. Stat., Theory Methods 47, No. 6, 1372-1391 (2018). MSC: 49K15 44A10 47D07 60J10 93E20 PDF BibTeX XML Cite \textit{Y. Dong} et al., Commun. Stat., Theory Methods 47, No. 6, 1372--1391 (2018; Zbl 1388.49020) Full Text: DOI OpenURL
Gaillardetz, Patrice; Moghtadai, Mehran Partial hedging for equity-linked products using risk-minimizing strategies. (English) Zbl 1414.91187 N. Am. Actuar. J. 21, No. 4, 580-593 (2017). MSC: 91B30 PDF BibTeX XML Cite \textit{P. Gaillardetz} and \textit{M. Moghtadai}, N. Am. Actuar. J. 21, No. 4, 580--593 (2017; Zbl 1414.91187) Full Text: DOI OpenURL
Kolkiewicz, Adam W.; Lin, Fangyuan Sally Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes. (English) Zbl 1414.91414 N. Am. Actuar. J. 21, No. 3, 433-457 (2017). MSC: 91G60 91G20 91B30 60G51 PDF BibTeX XML Cite \textit{A. W. Kolkiewicz} and \textit{F. S. Lin}, N. Am. Actuar. J. 21, No. 3, 433--457 (2017; Zbl 1414.91414) Full Text: DOI OpenURL
Wang, Chou-Wen; Yang, Sharon S.; Huang, Jr-Wei Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance. (English) Zbl 1402.91820 Quant. Finance 17, No. 10, 1567-1581 (2017). MSC: 91G20 91B30 60G51 PDF BibTeX XML Cite \textit{C.-W. Wang} et al., Quant. Finance 17, No. 10, 1567--1581 (2017; Zbl 1402.91820) Full Text: DOI OpenURL
Costabile, M. A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model. (English) Zbl 1401.91121 Scand. Actuar. J. 2017, No. 3, 231-244 (2017). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{M. Costabile}, Scand. Actuar. J. 2017, No. 3, 231--244 (2017; Zbl 1401.91121) Full Text: DOI OpenURL
Ma, Jingtang; Li, Wenyuan; Zheng, Harry Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization. (English) Zbl 1376.91172 Eur. J. Oper. Res. 262, No. 3, 851-862 (2017). MSC: 91G60 65C05 91G10 93E20 PDF BibTeX XML Cite \textit{J. Ma} et al., Eur. J. Oper. Res. 262, No. 3, 851--862 (2017; Zbl 1376.91172) Full Text: DOI Link OpenURL
Zhou, Zhiqiang; Gao, Xuemei Laplace transform methods for a free boundary problem of time-fractional partial differential equation system. (English) Zbl 1377.35291 Discrete Dyn. Nat. Soc. 2017, Article ID 6917828, 9 p. (2017). MSC: 35R35 35Q91 35A22 35R11 35R30 91G20 PDF BibTeX XML Cite \textit{Z. Zhou} and \textit{X. Gao}, Discrete Dyn. Nat. Soc. 2017, Article ID 6917828, 9 p. (2017; Zbl 1377.35291) Full Text: DOI OpenURL
Leduc, Guillaume; Zeng, Xiangchen Convergence rate of regime-switching trees. (English) Zbl 1358.41009 J. Comput. Appl. Math. 319, 56-76 (2017). MSC: 41A25 65C50 65C20 PDF BibTeX XML Cite \textit{G. Leduc} and \textit{X. Zeng}, J. Comput. Appl. Math. 319, 56--76 (2017; Zbl 1358.41009) Full Text: DOI OpenURL
Egorova, Vera N.; Company, Rafael; Jódar, Lucas A new efficient numerical method for solving American option under regime switching model. (English) Zbl 1443.91327 Comput. Math. Appl. 71, No. 1, 224-237 (2016). MSC: 91G60 65M06 65M12 65M22 91G20 60G40 PDF BibTeX XML Cite \textit{V. N. Egorova} et al., Comput. Math. Appl. 71, No. 1, 224--237 (2016; Zbl 1443.91327) Full Text: DOI OpenURL
Zhou, Zhiqiang; Ma, Jingtang Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching. (English) Zbl 1443.91336 Comput. Math. Appl. 71, No. 7, 1448-1463 (2016). MSC: 91G60 35K20 35Q91 65M12 65M75 76M28 91G20 PDF BibTeX XML Cite \textit{Z. Zhou} and \textit{J. Ma}, Comput. Math. Appl. 71, No. 7, 1448--1463 (2016; Zbl 1443.91336) Full Text: DOI OpenURL
Milidonis, Andreas An empirical investigation of CDS spreads using a regime-switching default risk model. (English) Zbl 1414.91399 N. Am. Actuar. J. 20, No. 3, 252-275 (2016). MSC: 91G40 91G20 62P05 PDF BibTeX XML Cite \textit{A. Milidonis}, N. Am. Actuar. J. 20, No. 3, 252--275 (2016; Zbl 1414.91399) Full Text: DOI OpenURL
Su, Fei; Chan, Kung-Sik Option pricing with threshold diffusion processes. (English) Zbl 1414.91390 N. Am. Actuar. J. 20, No. 2, 133-141 (2016). MSC: 91G20 91B30 PDF BibTeX XML Cite \textit{F. Su} and \textit{K.-S. Chan}, N. Am. Actuar. J. 20, No. 2, 133--141 (2016; Zbl 1414.91390) Full Text: DOI OpenURL
Wu, Huiling Optimal investment-consumption strategy under inflation in a Markovian regime-switching market. (English) Zbl 1422.91672 Discrete Dyn. Nat. Soc. 2016, Article ID 9606497, 17 p. (2016). MSC: 91G10 PDF BibTeX XML Cite \textit{H. Wu}, Discrete Dyn. Nat. Soc. 2016, Article ID 9606497, 17 p. (2016; Zbl 1422.91672) Full Text: DOI OpenURL
Yao, Haixiang; Li, Xun; Hao, Zhifeng; Li, Yong Dynamic asset-liability management in a Markov market with stochastic cash flows. (English) Zbl 1400.91570 Quant. Finance 16, No. 10, 1575-1597 (2016). MSC: 91G10 PDF BibTeX XML Cite \textit{H. Yao} et al., Quant. Finance 16, No. 10, 1575--1597 (2016; Zbl 1400.91570) Full Text: DOI OpenURL
Holzmann, Hajo; Schwaiger, Florian Testing for the number of states in hidden Markov models. (English) Zbl 1466.62099 Comput. Stat. Data Anal. 100, 318-330 (2016). MSC: 62-08 62P05 PDF BibTeX XML Cite \textit{H. Holzmann} and \textit{F. Schwaiger}, Comput. Stat. Data Anal. 100, 318--330 (2016; Zbl 1466.62099) Full Text: DOI OpenURL
Company, Rafael; Egorova, Vera; Jódar, Lucas; Vázquez, Carlos Computing American option price under regime switching with rationality parameter. (English) Zbl 1410.91480 Comput. Math. Appl. 72, No. 3, 741-754 (2016). MSC: 91G60 91G20 65M06 60G40 PDF BibTeX XML Cite \textit{R. Company} et al., Comput. Math. Appl. 72, No. 3, 741--754 (2016; Zbl 1410.91480) Full Text: DOI OpenURL
Yang, Aijun; Liu, Yue; Xiang, Ju; Yang, Hongqiang Optimal buying at the global minimum in a regime switching model. (English) Zbl 1397.91579 Math. Soc. Sci. 84, 50-55 (2016). MSC: 91G20 60G40 PDF BibTeX XML Cite \textit{A. Yang} et al., Math. Soc. Sci. 84, 50--55 (2016; Zbl 1397.91579) Full Text: DOI OpenURL
Yao, Haixiang; Chen, Ping; Li, Xun Multi-period defined contribution pension funds investment management with regime-switching and mortality risk. (English) Zbl 1371.91171 Insur. Math. Econ. 71, 103-113 (2016). MSC: 91G10 91B30 93E20 PDF BibTeX XML Cite \textit{H. Yao} et al., Insur. Math. Econ. 71, 103--113 (2016; Zbl 1371.91171) Full Text: DOI Link OpenURL
Dong, Yinghui; Yuen, Kam C.; Wang, Guojing; Wu, Chongfeng A reduced-form model for correlated defaults with regime-switching shot noise intensities. (English) Zbl 1343.60117 Methodol. Comput. Appl. Probab. 18, No. 2, 459-486 (2016). MSC: 60J28 60J27 60H30 60H10 60G55 91G40 91G80 60G46 PDF BibTeX XML Cite \textit{Y. Dong} et al., Methodol. Comput. Appl. Probab. 18, No. 2, 459--486 (2016; Zbl 1343.60117) Full Text: DOI OpenURL
Kwon, Roy H.; Li, Jonathan Y. A stochastic semidefinite programming approach for bounds on option pricing under regime switching. (English) Zbl 1336.91077 Ann. Oper. Res. 237, No. 1-2, 41-75 (2016). MSC: 91G20 90C15 90C22 PDF BibTeX XML Cite \textit{R. H. Kwon} and \textit{J. Y. Li}, Ann. Oper. Res. 237, No. 1--2, 41--75 (2016; Zbl 1336.91077) Full Text: DOI OpenURL
Ye, Wuyi; Zhu, Yangguang; Wu, Yuehua; Miao, Baiqi Markov regime-switching quantile regression models and financial contagion detection. (English) Zbl 1348.62251 Insur. Math. Econ. 67, 21-26 (2016). MSC: 62P05 62M05 62P20 91G70 PDF BibTeX XML Cite \textit{W. Ye} et al., Insur. Math. Econ. 67, 21--26 (2016; Zbl 1348.62251) Full Text: DOI OpenURL
Ma, Jingtang; Zhou, Zhiqiang Moving mesh methods for pricing Asian options with regime switching. (English) Zbl 1409.91278 J. Comput. Appl. Math. 298, 211-221 (2016). MSC: 91G60 65M06 65M12 91G20 65M50 35Q91 PDF BibTeX XML Cite \textit{J. Ma} and \textit{Z. Zhou}, J. Comput. Appl. Math. 298, 211--221 (2016; Zbl 1409.91278) Full Text: DOI OpenURL
Lemoine, Killian Mortality regimes and longevity risk in a life annuity portfolio. (English) Zbl 1401.91163 Scand. Actuar. J. 2015, No. 8, 689-724 (2015). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{K. Lemoine}, Scand. Actuar. J. 2015, No. 8, 689--724 (2015; Zbl 1401.91163) Full Text: DOI OpenURL
Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang Valuing equity-linked death benefits in a regime-switching framework. (English) Zbl 1390.91211 ASTIN Bull. 45, No. 2, 355-395 (2015). MSC: 91B30 91G20 PDF BibTeX XML Cite \textit{C. C. Siu} et al., ASTIN Bull. 45, No. 2, 355--395 (2015; Zbl 1390.91211) Full Text: DOI Link OpenURL
Liu, R. H.; Nguyen, D. A tree approach to options pricing under regime-switching jump diffusion models. (English) Zbl 1335.91106 Int. J. Comput. Math. 92, No. 12, 2575-2595 (2015). MSC: 91G60 60J75 60H30 60H35 91B70 91G20 91G80 93E11 93E20 PDF BibTeX XML Cite \textit{R. H. Liu} and \textit{D. Nguyen}, Int. J. Comput. Math. 92, No. 12, 2575--2595 (2015; Zbl 1335.91106) Full Text: DOI OpenURL
Yousuf, M.; Khaliq, A. Q. M.; Liu, R. H. Pricing American options under multi-state regime switching with an efficient \(L\)-stable method. (English) Zbl 1386.91168 Int. J. Comput. Math. 92, No. 12, 2530-2550 (2015). MSC: 91G60 65M06 65M12 65M15 91G20 60G40 PDF BibTeX XML Cite \textit{M. Yousuf} et al., Int. J. Comput. Math. 92, No. 12, 2530--2550 (2015; Zbl 1386.91168) Full Text: DOI OpenURL
Yan, Huahui; Shu, Huisheng; Kan, Xiu Pricing equity-indexed annuities when discrete dividends follow a Markov-modulated jump diffusion model. (English) Zbl 1329.91132 Commun. Stat., Theory Methods 44, No. 11, 2207-2221 (2015). MSC: 91G20 60H30 60J75 62P05 PDF BibTeX XML Cite \textit{H. Yan} et al., Commun. Stat., Theory Methods 44, No. 11, 2207--2221 (2015; Zbl 1329.91132) Full Text: DOI OpenURL
Gao, Huan; Mamon, Rogemar; Liu, Xiaoming; Tenyakov, Anton Mortality modelling with regime-switching for the valuation of a guaranteed annuity option. (English) Zbl 1348.91145 Insur. Math. Econ. 63, 108-120 (2015). MSC: 91B30 91G20 62P05 PDF BibTeX XML Cite \textit{H. Gao} et al., Insur. Math. Econ. 63, 108--120 (2015; Zbl 1348.91145) 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
Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming Pricing annuity guarantees under a double regime-switching model. (English) Zbl 1318.91111 Insur. Math. Econ. 62, 62-78 (2015). MSC: 91B30 91G60 PDF BibTeX XML Cite \textit{K. Fan} et al., Insur. Math. Econ. 62, 62--78 (2015; Zbl 1318.91111) Full Text: DOI OpenURL
Ma, Jingtang; Zhu, Tengfei Convergence rates of trinomial tree methods for option pricing under regime-switching models. (English) Zbl 1320.91158 Appl. Math. Lett. 39, 13-18 (2015). MSC: 91G60 91G20 PDF BibTeX XML Cite \textit{J. Ma} and \textit{T. Zhu}, Appl. Math. Lett. 39, 13--18 (2015; Zbl 1320.91158) Full Text: DOI OpenURL
Delong, Łukasz; Pelsser, Antoon Instantaneous mean-variance hedging and Sharpe ratio pricing in a regime-switching financial model. (English) Zbl 1345.60062 Stoch. Models 31, No. 1, 67-97 (2015). MSC: 60H30 60H10 49J55 49N90 93E20 91G80 PDF BibTeX XML Cite \textit{Ł. Delong} and \textit{A. Pelsser}, Stoch. Models 31, No. 1, 67--97 (2015; Zbl 1345.60062) Full Text: DOI OpenURL
Bernard, Carole; Hardy, Mary; Mackay, Anne State-dependent fees for variable annuity guarantees. (English) Zbl 1431.91318 ASTIN Bull. 44, No. 3, 559-585 (2014). MSC: 91G05 PDF BibTeX XML Cite \textit{C. Bernard} et al., ASTIN Bull. 44, No. 3, 559--585 (2014; Zbl 1431.91318) Full Text: DOI Link OpenURL
Xi, Xiaojing; Mamon, Rogemar S. Parameter estimation in a weak hidden Markov model with independent drift and volatility. (English) Zbl 1407.62394 Mamon, Rogemar S. (ed.) et al., Hidden Markov models in finance. Further developments and applications. Volume II. New York, NY: Springer. Int. Ser. Oper. Res. Manag. Sci. 209, 227-240 (2014). MSC: 62P05 62M10 62M05 PDF BibTeX XML Cite \textit{X. Xi} and \textit{R. S. Mamon}, Int. Ser. Oper. Res. Manag. Sci. 209, 227--240 (2014; Zbl 1407.62394) Full Text: DOI OpenURL
Azimzadeh, Parsiad; Forsyth, Peter A.; Vetzal, Kenneth R. Hedging costs for variable annuities under regime-switching. (English) Zbl 1418.91228 Mamon, Rogemar S. (ed.) et al., Hidden Markov models in finance. Further developments and applications. Volume II. New York, NY: Springer. Int. Ser. Oper. Res. Manag. Sci. 209, 133-166 (2014). MSC: 91B30 35Q91 PDF BibTeX XML Cite \textit{P. Azimzadeh} et al., Int. Ser. Oper. Res. Manag. Sci. 209, 133--166 (2014; Zbl 1418.91228) Full Text: DOI OpenURL
Forsyth, Peter; Vetzal, Kenneth An optimal stochastic control framework for determining the cost of hedging of variable annuities. (English) Zbl 1402.93266 J. Econ. Dyn. Control 44, 29-53 (2014). MSC: 93E20 91G20 91B30 49K45 91G80 PDF BibTeX XML Cite \textit{P. Forsyth} and \textit{K. Vetzal}, J. Econ. Dyn. Control 44, 29--53 (2014; Zbl 1402.93266) Full Text: DOI OpenURL
Hainaut, Donatien Impulse control of pension fund contributions, in a regime switching economy. (English) Zbl 1339.91141 Eur. J. Oper. Res. 239, No. 3, 810-819 (2014). MSC: 91G80 91B30 93E20 49L20 91G10 91G60 PDF BibTeX XML Cite \textit{D. Hainaut}, Eur. J. Oper. Res. 239, No. 3, 810--819 (2014; Zbl 1339.91141) Full Text: DOI OpenURL
Zhao, Hui; Marriott, Paul Variational Bayes for regime-switching log-normal models. (English) Zbl 1338.62027 Entropy 16, No. 7, 3832-3847 (2014). MSC: 62B10 62F15 94A17 PDF BibTeX XML Cite \textit{H. Zhao} and \textit{P. Marriott}, Entropy 16, No. 7, 3832--3847 (2014; Zbl 1338.62027) Full Text: DOI OpenURL
Bae, Taehan; Iscoe, Ian Sum of Bernoulli mixtures: beyond conditional independence. (English) Zbl 1307.62155 J. Probab. Stat. 2014, Article ID 838625, 14 p. (2014). MSC: 62H20 60G50 62P05 91G40 PDF BibTeX XML Cite \textit{T. Bae} and \textit{I. Iscoe}, J. Probab. Stat. 2014, Article ID 838625, 14 p. (2014; Zbl 1307.62155) Full Text: DOI OpenURL
Li, Bin; Hoi, Steven C. H. Online portfolio selection: a survey. (English) Zbl 1306.91129 ACM Comput. Surv. 46, No. 3, Paper No. 35, 36 p. (2014). MSC: 91G10 68T05 68M11 68-02 91-02 PDF BibTeX XML Cite \textit{B. Li} and \textit{S. C. H. Hoi}, ACM Comput. Surv. 46, No. 3, Paper No. 35, 36 p. (2014; Zbl 1306.91129) Full Text: DOI arXiv OpenURL
Dong, Yinghui; Wang, Guojing A contagion model with Markov regime-switching intensities. (English) Zbl 1343.60116 Front. Math. China 9, No. 1, 45-62 (2014). MSC: 60J28 60J27 91G40 91G80 44A10 PDF BibTeX XML Cite \textit{Y. Dong} and \textit{G. Wang}, Front. Math. China 9, No. 1, 45--62 (2014; Zbl 1343.60116) Full Text: DOI OpenURL
Dong, Yinghui; Yuen, Kam C.; Wu, Chongfeng Regime-switching shot-noise processes and longevity bond pricing. (English) Zbl 1341.60069 Lith. Math. J. 54, No. 4, 383-402 (2014). MSC: 60H30 60H10 60G51 60J25 91G40 91G80 PDF BibTeX XML Cite \textit{Y. Dong} et al., Lith. Math. J. 54, No. 4, 383--402 (2014; Zbl 1341.60069) Full Text: DOI OpenURL
François, Pascal; Gauthier, Geneviève; Godin, Frédéric Optimal hedging when the underlying asset follows a regime-switching Markov process. (English) Zbl 1304.91249 Eur. J. Oper. Res. 237, No. 1, 312-322 (2014). MSC: 91G80 91G20 90C15 90C39 PDF BibTeX XML Cite \textit{P. François} et al., Eur. J. Oper. Res. 237, No. 1, 312--322 (2014; Zbl 1304.91249) Full Text: DOI Link OpenURL
Dong, Yinghui; Wang, Guojing; Yuen, Kam C. Bilateral counterparty risk valuation on a CDS with a common shock model. (English) Zbl 1307.91185 Methodol. Comput. Appl. Probab. 16, No. 3, 643-673 (2014). MSC: 91G40 91G20 60H30 60J27 PDF BibTeX XML Cite \textit{Y. Dong} et al., Methodol. Comput. Appl. Probab. 16, No. 3, 643--673 (2014; Zbl 1307.91185) Full Text: DOI OpenURL
Fard, Farzad Alavi; Rong, Ning Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process. (English) Zbl 1298.91096 Ann. Finance 10, No. 2, 315-332 (2014). MSC: 91B30 60G51 91G10 60J20 PDF BibTeX XML Cite \textit{F. A. Fard} and \textit{N. Rong}, Ann. Finance 10, No. 2, 315--332 (2014; Zbl 1298.91096) Full Text: DOI OpenURL
Babbin, J.; Forsyth, P. A.; Labahn, G. A comparison of iterated optimal stopping and local policy iteration for American options under regime switching. (English) Zbl 1306.60039 J. Sci. Comput. 58, No. 2, 409-430 (2014). Reviewer: Pavel Gapeev (London) MSC: 60G40 91G20 91G80 65N06 65K15 PDF BibTeX XML Cite \textit{J. Babbin} et al., J. Sci. Comput. 58, No. 2, 409--430 (2014; Zbl 1306.60039) Full Text: DOI OpenURL
Uzelac, Filip; Szimayer, Alexander Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model. (English) Zbl 1403.91201 Quant. Finance 14, No. 2, 357-368 (2014). Reviewer: Tomáš Cipra (Praha) MSC: 91B30 91G20 91G60 60J28 PDF BibTeX XML Cite \textit{F. Uzelac} and \textit{A. Szimayer}, Quant. Finance 14, No. 2, 357--368 (2014; Zbl 1403.91201) Full Text: DOI OpenURL
Dong, Yinghui; Yuen, Kam C.; Wu, Chongfeng A multivariate regime-switching mean reverting process and its application to the valuation of credit risk. (English) Zbl 1307.91186 Stochastic Anal. Appl. 32, No. 4, 687-710 (2014). Reviewer: Pavel Stoynov (Sofia) MSC: 91G40 60J27 91G20 60G55 60H30 62P05 PDF BibTeX XML Cite \textit{Y. Dong} et al., Stochastic Anal. Appl. 32, No. 4, 687--710 (2014; Zbl 1307.91186) Full Text: DOI OpenURL
Boudreault, Mathieu; Cossette, Hélène; Marceau, Étienne Risk models with dependence between claim occurrences and severities for Atlantic hurricanes. (English) Zbl 1291.91095 Insur. Math. Econ. 54, 123-132 (2014); erratum ibid. 61, 298 (2015). MSC: 91B30 86A10 PDF BibTeX XML Cite \textit{M. Boudreault} et al., Insur. Math. Econ. 54, 123--132 (2014; Zbl 1291.91095) Full Text: DOI OpenURL
Hartman, Brian M.; Groendyke, Chris Model selection and averaging in financial risk management. (English) Zbl 1412.91044 N. Am. Actuar. J. 17, No. 3, 216-228 (2013). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{B. M. Hartman} and \textit{C. Groendyke}, N. Am. Actuar. J. 17, No. 3, 216--228 (2013; Zbl 1412.91044) Full Text: DOI OpenURL
Ng, Andrew Cheuk-Yin; Li, Johnny Siu-Hang Pricing and hedging variable annuity guarantees with multiasset stochastic investment models. (English) Zbl 1412.91052 N. Am. Actuar. J. 17, No. 1, 41-62 (2013). MSC: 91B30 62P05 62M10 PDF BibTeX XML Cite \textit{A. C. Y. Ng} and \textit{J. S. H. Li}, N. Am. Actuar. J. 17, No. 1, 41--62 (2013; Zbl 1412.91052) Full Text: DOI OpenURL
Fard, Farzad Alavi; Siu, Tak Kuen Pricing and managing risks of European-style options in a Markovian regime-switching binomial model. (English) Zbl 1298.91163 Ann. Finance 9, No. 3, 421-438 (2013). MSC: 91G20 60J20 PDF BibTeX XML Cite \textit{F. A. Fard} and \textit{T. K. Siu}, Ann. Finance 9, No. 3, 421--438 (2013; Zbl 1298.91163) Full Text: DOI OpenURL
Chen, Ping; Yam, S. C. P. Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers. (English) Zbl 1290.91079 Insur. Math. Econ. 53, No. 3, 871-883 (2013). MSC: 91B30 91G10 60J27 62H30 PDF BibTeX XML Cite \textit{P. Chen} and \textit{S. C. P. Yam}, Insur. Math. Econ. 53, No. 3, 871--883 (2013; Zbl 1290.91079) Full Text: DOI OpenURL
Fard, Farzad Alavi; Siu, Tak Kuen Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach. (English) Zbl 1290.91179 Insur. Math. Econ. 53, No. 3, 712-721 (2013). MSC: 91G60 91B30 60J75 PDF BibTeX XML Cite \textit{F. A. Fard} and \textit{T. K. Siu}, Insur. Math. Econ. 53, No. 3, 712--721 (2013; Zbl 1290.91179) Full Text: DOI OpenURL
Liu, R. H.; Zhao, J. L. A lattice method for option pricing with two underlying assets in the regime-switching model. (English) Zbl 1285.91143 J. Comput. Appl. Math. 250, 96-106 (2013). MSC: 91G60 91G20 PDF BibTeX XML Cite \textit{R. H. Liu} and \textit{J. L. Zhao}, J. Comput. Appl. Math. 250, 96--106 (2013; Zbl 1285.91143) Full Text: DOI OpenURL
Weng, Chengguo Constant proportion portfolio insurance under a regime switching exponential Lévy process. (English) Zbl 1284.91276 Insur. Math. Econ. 52, No. 3, 508-521 (2013). MSC: 91B30 91G10 60G51 62P05 PDF BibTeX XML Cite \textit{C. Weng}, Insur. Math. Econ. 52, No. 3, 508--521 (2013; Zbl 1284.91276) Full Text: DOI OpenURL
Bargès, Mathieu; Loisel, Stéphane; Venel, Xavier On finite-time ruin probabilities with reinsurance cycles influenced by large claims. (English) Zbl 1292.91089 Scand. Actuar. J. 2013, No. 3, 164-186 (2013). Reviewer: Tamás Mátrai (Budapest) MSC: 91B30 91B74 60K20 PDF BibTeX XML Cite \textit{M. Bargès} et al., Scand. Actuar. J. 2013, No. 3, 164--186 (2013; Zbl 1292.91089) Full Text: DOI HAL OpenURL
Khaliq, A. Q. M.; Kleefeld, B.; Liu, R. H. Solving complex PDE systems for pricing American options with regime-switching by efficient exponential time differencing schemes. (English) Zbl 1282.91377 Numer. Methods Partial Differ. Equations 29, No. 1, 320-336 (2013). MSC: 91G60 91G20 35Q91 65M06 60J27 60J60 65M20 PDF BibTeX XML Cite \textit{A. Q. M. Khaliq} et al., Numer. Methods Partial Differ. Equations 29, No. 1, 320--336 (2013; Zbl 1282.91377) Full Text: DOI OpenURL
Feng, Runhuan; Volkmer, Hans W. Analytical calculation of risk measures for variable annuity guaranteed benefits. (English) Zbl 1285.91055 Insur. Math. Econ. 51, No. 3, 636-648 (2012). MSC: 91B30 91G20 60H30 PDF BibTeX XML Cite \textit{R. Feng} and \textit{H. W. Volkmer}, Insur. Math. Econ. 51, No. 3, 636--648 (2012; Zbl 1285.91055) Full Text: DOI OpenURL
Ren, Jiandong A multivariate aggregate loss model. (English) Zbl 1284.91267 Insur. Math. Econ. 51, No. 2, 402-408 (2012). MSC: 91B30 60K30 PDF BibTeX XML Cite \textit{J. Ren}, Insur. Math. Econ. 51, No. 2, 402--408 (2012; Zbl 1284.91267) Full Text: DOI OpenURL
Erlwein, Christina; Mitra, Gautam; Roman, Diana HMM based scenario generation for an investment optimisation problem. (English) Zbl 1254.91763 Ann. Oper. Res. 193, 173-192 (2012). MSC: 91G80 91G10 91B84 PDF BibTeX XML Cite \textit{C. Erlwein} et al., Ann. Oper. Res. 193, 173--192 (2012; Zbl 1254.91763) Full Text: DOI Link OpenURL
Liu, R. H. A new tree method for pricing financial derivatives in a regime-switching mean-reverting model. (English) Zbl 1254.91726 Nonlinear Anal., Real World Appl. 13, No. 6, 2609-2621 (2012). MSC: 91G20 PDF BibTeX XML Cite \textit{R. H. Liu}, Nonlinear Anal., Real World Appl. 13, No. 6, 2609--2621 (2012; Zbl 1254.91726) Full Text: DOI OpenURL
Li, Jonathan Y.; Kim, Michael Jong; Kwon, Roy H. A moment approach to bounding exotic options under regime switching. (English) Zbl 1259.91083 Optimization 61, No. 10, 1253-1269 (2012). MSC: 91G20 90C22 PDF BibTeX XML Cite \textit{J. Y. Li} et al., Optimization 61, No. 10, 1253--1269 (2012; Zbl 1259.91083) Full Text: DOI OpenURL
Guo, Beibei; Wu, Yuehua; Xie, Hong; Miao, Baiqi A segmented regime-switching model with its application to stock market indices. (English) Zbl 07253966 J. Appl. Stat. 38, No. 10, 2241-2252 (2011). MSC: 62-XX PDF BibTeX XML Cite \textit{B. Guo} et al., J. Appl. Stat. 38, No. 10, 2241--2252 (2011; Zbl 07253966) Full Text: DOI OpenURL
Donnelly, Catherine Good-deal bounds in a regime-switching diffusion market. (English) Zbl 1239.91161 Appl. Math. Finance 18, No. 5-6, 491-515 (2011). MSC: 91G20 91G80 PDF BibTeX XML Cite \textit{C. Donnelly}, Appl. Math. Finance 18, No. 5--6, 491--515 (2011; Zbl 1239.91161) Full Text: DOI arXiv OpenURL
Hartman, Brian M.; Heaton, Matthew J. Accounting for regime and parameter uncertainty in regime-switching models. (English) Zbl 1228.91075 Insur. Math. Econ. 49, No. 3, 429-437 (2011). MSC: 91G60 65C40 65C05 PDF BibTeX XML Cite \textit{B. M. Hartman} and \textit{M. J. Heaton}, Insur. Math. Econ. 49, No. 3, 429--437 (2011; Zbl 1228.91075) Full Text: DOI OpenURL
Jin, Zhuo; Wang, Yumin; Yin, G. Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation. (English) Zbl 1229.91358 J. Comput. Appl. Math. 235, No. 8, 2842-2860 (2011). Reviewer: Pedro A. Morettin (São Paulo) MSC: 91G70 65C20 65C05 PDF BibTeX XML Cite \textit{Z. Jin} et al., J. Comput. Appl. Math. 235, No. 8, 2842--2860 (2011; Zbl 1229.91358) Full Text: DOI OpenURL
van Haastrecht, Alexander; Plat, Richard; Pelsser, Antoon Valuation of guaranteed annuity options using a stochastic volatility model for equity prices. (English) Zbl 1231.91490 Insur. Math. Econ. 47, No. 3, 266-277 (2010). MSC: 91G70 91G30 91B70 PDF BibTeX XML Cite \textit{A. van Haastrecht} et al., Insur. Math. Econ. 47, No. 3, 266--277 (2010; Zbl 1231.91490) Full Text: DOI OpenURL
Yuen, Fei Lung; Yang, Hailiang Pricing Asian options and equity-indexed annuities with regime switching by the trinomial tree method. (English) Zbl 1219.91145 N. Am. Actuar. J. 14, No. 2, 256-280 (2010). MSC: 91G20 91G60 PDF BibTeX XML Cite \textit{F. L. Yuen} and \textit{H. Yang}, N. Am. Actuar. J. 14, No. 2, 256--280 (2010; Zbl 1219.91145) Full Text: DOI OpenURL