Jiang, Ruihong; Saunders, David; Weng, Chengguo Two-phase selection of representative contracts for valuation of large variable annuity portfolios. (English) Zbl 07804013 Insur. Math. Econ. 113, 293-309 (2023). MSC: 91G05 91B41 PDFBibTeX XMLCite \textit{R. Jiang} et al., Insur. Math. Econ. 113, 293--309 (2023; Zbl 07804013) Full Text: DOI
MacKay, Anne; Vachon, Marie-Claude; Cui, Zhenyu Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation. (English) Zbl 1522.91280 Quant. Finance 23, No. 7-8, 1055-1078 (2023). MSC: 91G20 91G05 60G40 60J28 PDFBibTeX XMLCite \textit{A. MacKay} et al., Quant. Finance 23, No. 7--8, 1055--1078 (2023; Zbl 1522.91280) Full Text: DOI arXiv
Arık, Ayşe; Uğur, Ömür; Kleinow, Torsten The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices. (English) Zbl 1520.91305 ASTIN Bull. 53, No. 2, 392-417 (2023). MSC: 91G05 91G15 PDFBibTeX XMLCite \textit{A. Arık} et al., ASTIN Bull. 53, No. 2, 392--417 (2023; Zbl 1520.91305) Full Text: DOI
Dang, Ou; Feng, Mingbin; Hardy, Mary R. Two-stage nested simulation of tail risk measurement: a likelihood ratio approach. (English) Zbl 1507.91173 Insur. Math. Econ. 108, 1-24 (2023). MSC: 91G05 91G70 PDFBibTeX XMLCite \textit{O. Dang} et al., Insur. Math. Econ. 108, 1--24 (2023; Zbl 1507.91173) Full Text: DOI
Feng, Runhuan; Gan, Guojun; Zhang, Ning Variable annuity pricing, valuation, and risk management: a survey. (English) Zbl 1510.91144 Scand. Actuar. J. 2022, No. 10, 867-900 (2022). Reviewer: Tak Kuen Siu (Sydney) MSC: 91G05 91-02 PDFBibTeX XMLCite \textit{R. Feng} et al., Scand. Actuar. J. 2022, No. 10, 867--900 (2022; Zbl 1510.91144) Full Text: DOI
Ulm, Eric R. Analytic valuation of GMDB options with utility based asset allocation. (English) Zbl 1501.91160 Scand. Actuar. J. 2022, No. 9, 816-840 (2022). MSC: 91G05 PDFBibTeX XMLCite \textit{E. R. Ulm}, Scand. Actuar. J. 2022, No. 9, 816--840 (2022; Zbl 1501.91160) Full Text: DOI
Feng, Runhuan; Li, Peng Sample recycling method – a new approach to efficient nested Monte Carlo simulations. (English) Zbl 1492.91423 Insur. Math. Econ. 105, 336-359 (2022). MSC: 91G60 91G05 PDFBibTeX XMLCite \textit{R. Feng} and \textit{P. Li}, Insur. Math. Econ. 105, 336--359 (2022; Zbl 1492.91423) Full Text: DOI arXiv
Njike Leunga, Charles Guy; Hainaut, Donatien Valuation of annuity guarantees under a self-exciting switching jump model. (English) Zbl 1489.91270 Methodol. Comput. Appl. Probab. 24, No. 2, 963-990 (2022). MSC: 91G20 91G30 60J22 PDFBibTeX XMLCite \textit{C. G. Njike Leunga} and \textit{D. Hainaut}, Methodol. Comput. Appl. Probab. 24, No. 2, 963--990 (2022; Zbl 1489.91270) Full Text: DOI
Hu, Wentao; Chen, Cuixia; Shi, Yufeng; Chen, Ze A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy. (English) Zbl 1489.91219 Methodol. Comput. Appl. Probab. 24, No. 2, 831-874 (2022). MSC: 91G05 91G40 PDFBibTeX XMLCite \textit{W. Hu} et al., Methodol. Comput. Appl. Probab. 24, No. 2, 831--874 (2022; Zbl 1489.91219) Full Text: DOI
Huang, Yiming; Mamon, Rogemar; Xiong, Heng Valuing guaranteed minimum accumulation benefits by a change of numéraire approach. (English) Zbl 1484.91387 Insur. Math. Econ. 103, 1-26 (2022). MSC: 91G05 PDFBibTeX XMLCite \textit{Y. Huang} et al., Insur. Math. Econ. 103, 1--26 (2022; Zbl 1484.91387) Full Text: DOI
Mamon, Rogemar; Xiong, Heng; Zhao, Yixing The valuation of a guaranteed minimum maturity benefit under a regime-switching framework. (English) Zbl 1479.91336 N. Am. Actuar. J. 25, No. 3, 334-359 (2021). MSC: 91G05 PDFBibTeX XMLCite \textit{R. Mamon} et al., N. Am. Actuar. J. 25, No. 3, 334--359 (2021; Zbl 1479.91336) Full Text: DOI
Liu, Kai; Tan, Ken Seng Real-time valuation of large variable annuity portfolios: a Green mesh approach. (English) Zbl 1479.91335 N. Am. Actuar. J. 25, No. 3, 313-333 (2021). MSC: 91G05 PDFBibTeX XMLCite \textit{K. Liu} and \textit{K. S. Tan}, N. Am. Actuar. J. 25, No. 3, 313--333 (2021; Zbl 1479.91335) Full Text: DOI
Li, Peng; Feng, Runhuan Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach. (English) Zbl 1479.91445 Scand. Actuar. J. 2021, No. 9, 744-778 (2021). MSC: 91G60 65C05 65M75 91G05 91B70 PDFBibTeX XMLCite \textit{P. Li} and \textit{R. Feng}, Scand. Actuar. J. 2021, No. 9, 744--778 (2021; Zbl 1479.91445) Full Text: DOI
Wang, Gu; Zou, Bin Optimal fee structure of variable annuities. (English) Zbl 1475.91321 Insur. Math. Econ. 101, 587-601 (2021). MSC: 91G05 60H10 93E20 PDFBibTeX XMLCite \textit{G. Wang} and \textit{B. Zou}, Insur. Math. Econ. 101, 587--601 (2021; Zbl 1475.91321) Full Text: DOI
Vitali, Sebastiano; Moriggia, Vittorio Pension fund management with investment certificates and stochastic dominance. (English) Zbl 1473.91015 Ann. Oper. Res. 299, No. 1-2, 273-292 (2021). MSC: 91G05 90C15 90C29 PDFBibTeX XMLCite \textit{S. Vitali} and \textit{V. Moriggia}, Ann. Oper. Res. 299, No. 1--2, 273--292 (2021; Zbl 1473.91015) Full Text: DOI
Augustyniak, Maciej; Godin, Frédéric; Hamel, Emmanuel A mixed bond and equity fund model for the valuation of variable annuities. (English) Zbl 1471.91444 ASTIN Bull. 51, No. 1, 131-159 (2021). MSC: 91G05 91G30 PDFBibTeX XMLCite \textit{M. Augustyniak} et al., ASTIN Bull. 51, No. 1, 131--159 (2021; Zbl 1471.91444) Full Text: DOI
Carbonneau, Alexandre Deep hedging of long-term financial derivatives. (English) Zbl 1467.91138 Insur. Math. Econ. 99, 327-340 (2021). MSC: 91G05 91G20 68T07 PDFBibTeX XMLCite \textit{A. Carbonneau}, Insur. Math. Econ. 99, 327--340 (2021; Zbl 1467.91138) Full Text: DOI arXiv
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 PDFBibTeX XMLCite \textit{F. Godin} and \textit{D.-A. Trottier}, Insur. Math. Econ. 99, 116--129 (2021; Zbl 1467.91185) Full Text: DOI
Gweon, Hyukjun; Li, Shu Batch mode active learning framework and its application on valuing large variable annuity portfolios. (English) Zbl 1467.91141 Insur. Math. Econ. 99, 105-115 (2021). MSC: 91G05 68T05 PDFBibTeX XMLCite \textit{H. Gweon} and \textit{S. Li}, Insur. Math. Econ. 99, 105--115 (2021; Zbl 1467.91141) Full Text: DOI
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 PDFBibTeX XMLCite \textit{H.-C. Ho} et al., Stat. Sin. 31, No. 1, 547--569 (2021; Zbl 1466.62283)
Atance, David; Balbás, Alejandro; Navarro, Eliseo Constructing dynamic life tables with a single-factor model. (English) Zbl 1468.91120 Decis. Econ. Finance 43, No. 2, 787-825 (2020). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 91D20 PDFBibTeX XMLCite \textit{D. Atance} et al., Decis. Econ. Finance 43, No. 2, 787--825 (2020; Zbl 1468.91120) Full Text: DOI
Gweon, Hyukjun; Li, Shu; Mamon, Rogemar An effective bias-corrected bagging method for the valuation of large variable annuity portfolios. (English) Zbl 1454.91189 ASTIN Bull. 50, No. 3, 853-871 (2020). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{H. Gweon} et al., ASTIN Bull. 50, No. 3, 853--871 (2020; Zbl 1454.91189) Full Text: DOI
Feng, Ben Mingbin; Tan, Zhenni; Zheng, Jiayi Efficient simulation designs for valuation of large variable annuity portfolios. (English) Zbl 1454.91184 N. Am. Actuar. J. 24, No. 2, 275-289 (2020). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 PDFBibTeX XMLCite \textit{B. M. Feng} et al., N. Am. Actuar. J. 24, No. 2, 275--289 (2020; Zbl 1454.91184) Full Text: DOI
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 PDFBibTeX XMLCite \textit{O. Dang} et al., N. Am. Actuar. J. 24, No. 2, 187--210 (2020; Zbl 1454.91176) Full Text: DOI
Gan, Guojun; Valdez, Emiliano A. Data clustering with actuarial applications. (English) Zbl 1454.91186 N. Am. Actuar. J. 24, No. 2, 168-186 (2020). MSC: 91G05 62P05 62H30 PDFBibTeX XMLCite \textit{G. Gan} and \textit{E. A. Valdez}, N. Am. Actuar. J. 24, No. 2, 168--186 (2020; Zbl 1454.91186) Full Text: DOI
Ma, Yong; Pan, Dongtao; Wang, Tianyang Exchange options under clustered jump dynamics. (English) Zbl 1454.91302 Quant. Finance 20, No. 6, 949-967 (2020). MSC: 91G20 60J74 PDFBibTeX XMLCite \textit{Y. Ma} et al., Quant. Finance 20, No. 6, 949--967 (2020; Zbl 1454.91302) Full Text: DOI Link
Boado-Penas, M. Carmen; Eisenberg, Julia; Helmert, Axel; Krühner, Paul A new approach for satisfactory pensions with no guarantees. (English) Zbl 1452.91263 Eur. Actuar. J. 10, No. 1, 3-21 (2020). MSC: 91G05 91G30 PDFBibTeX XMLCite \textit{M. C. Boado-Penas} et al., Eur. Actuar. J. 10, No. 1, 3--21 (2020; Zbl 1452.91263) Full Text: DOI arXiv
Gan, Guojun; Valdez, Emiliano A. Valuation of large variable annuity portfolios with rank order kriging. (English) Zbl 1437.91391 N. Am. Actuar. J. 24, No. 1, 100-117 (2020). MSC: 91G05 62P05 PDFBibTeX XMLCite \textit{G. Gan} and \textit{E. A. Valdez}, N. Am. Actuar. J. 24, No. 1, 100--117 (2020; Zbl 1437.91391) Full Text: DOI
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 PDFBibTeX XMLCite \textit{B. Hartman} et al., Scand. Actuar. J. 2020, No. 2, 152--171 (2020; Zbl 1433.91133) Full Text: DOI
Qian, Linyi; Wang, Wei; Wang, Ning; Wang, Shuai Pricing and hedging equity-indexed annuities via local risk-minimization. (English) Zbl 07530892 Commun. Stat., Theory Methods 48, No. 6, 1417-1434 (2019). MSC: 91B25 91G20 PDFBibTeX XMLCite \textit{L. Qian} et al., Commun. Stat., Theory Methods 48, No. 6, 1417--1434 (2019; Zbl 07530892) Full Text: DOI
Zheng, Haitao; Hao, Junzhang; Bai, Manying; Zhang, Zhengjun Valuation of guaranteed unitized participating life insurance under MEGB2 distribution. (English) Zbl 1453.91088 Discrete Dyn. Nat. Soc. 2019, Article ID 9439786, 16 p. (2019). MSC: 91G05 PDFBibTeX XMLCite \textit{H. Zheng} et al., Discrete Dyn. Nat. Soc. 2019, Article ID 9439786, 16 p. (2019; Zbl 1453.91088) Full Text: DOI
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 PDFBibTeX XMLCite \textit{F. Godin} et al., Insur. Math. Econ. 87, 130--142 (2019; Zbl 1410.91448) Full Text: DOI Link
Feng, Runhuan; Yi, Bingji Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits. (English) Zbl 1419.91360 Insur. Math. Econ. 85, 60-73 (2019). MSC: 91B30 PDFBibTeX XMLCite \textit{R. Feng} and \textit{B. Yi}, Insur. Math. Econ. 85, 60--73 (2019; Zbl 1419.91360) Full Text: DOI
Anzilli, Luca; Facchinetti, Gisella; Pirotti, Tommaso Pricing of minimum guarantees in life insurance contracts with fuzzy volatility. (English) Zbl 1448.91252 Inf. Sci. 460-461, 578-593 (2018). MSC: 91G05 60A86 PDFBibTeX XMLCite \textit{L. Anzilli} et al., Inf. Sci. 460--461, 578--593 (2018; Zbl 1448.91252) Full Text: DOI
Kouritzin, Michael A.; MacKay, Anne VIX-linked fees for GMWBs via explicit solution simulation methods. (English) Zbl 1416.91197 Insur. Math. Econ. 81, 1-17 (2018). MSC: 91B30 60H10 91G80 PDFBibTeX XMLCite \textit{M. A. Kouritzin} and \textit{A. MacKay}, Insur. Math. Econ. 81, 1--17 (2018; Zbl 1416.91197) Full Text: DOI arXiv
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 PDFBibTeX XMLCite \textit{D.-A. Trottier} et al., ASTIN Bull. 48, No. 2, 611--646 (2018; Zbl 1390.91213) Full Text: DOI
Zhao, Yixing; Mamon, Rogemar An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks. (English) Zbl 1398.91359 Insur. Math. Econ. 78, 1-12 (2018). MSC: 91B30 91G20 PDFBibTeX XMLCite \textit{Y. Zhao} and \textit{R. Mamon}, Insur. Math. Econ. 78, 1--12 (2018; Zbl 1398.91359) Full Text: DOI
Gao, Huan; Mamon, Rogemar; Liu, Xiaoming Risk measurement of a guaranteed annuity option under a stochastic modelling framework. (English) Zbl 07313750 Math. Comput. Simul. 132, 100-119 (2017). MSC: 91-XX 62-XX PDFBibTeX XMLCite \textit{H. Gao} et al., Math. Comput. Simul. 132, 100--119 (2017; Zbl 07313750) Full Text: DOI
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 PDFBibTeX XMLCite \textit{P. Gaillardetz} and \textit{M. Moghtadai}, N. Am. Actuar. J. 21, No. 4, 580--593 (2017; Zbl 1414.91187) Full Text: DOI
Augustyniak, Maciej; Boudreault, Mathieu Mitigating interest rate risk in variable annuities: an analysis of hedging effectiveness under model risk. (English) Zbl 1414.91159 N. Am. Actuar. J. 21, No. 4, 502-525 (2017). MSC: 91B30 91G30 PDFBibTeX XMLCite \textit{M. Augustyniak} and \textit{M. Boudreault}, N. Am. Actuar. J. 21, No. 4, 502--525 (2017; Zbl 1414.91159) Full Text: DOI
Bernard, Carole; Cui, Zhenyu; Vanduffel, Steven Impact of flexible periodic premiums on variable annuity guarantees. (English) Zbl 1414.91165 N. Am. Actuar. J. 21, No. 1, 63-86 (2017). MSC: 91B30 PDFBibTeX XMLCite \textit{C. Bernard} et al., N. Am. Actuar. J. 21, No. 1, 63--86 (2017; Zbl 1414.91165) Full Text: DOI
Chateau, Jean-Pierre; Dufresne, Daniel Gram-Charlier processes and applications to option pricing. (English) Zbl 1431.62471 J. Probab. Stat. 2017, Article ID 8690491, 19 p. (2017). MSC: 62P05 60E05 91G20 PDFBibTeX XMLCite \textit{J.-P. Chateau} and \textit{D. Dufresne}, J. Probab. Stat. 2017, Article ID 8690491, 19 p. (2017; Zbl 1431.62471) Full Text: DOI
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 PDFBibTeX XMLCite \textit{G. Gan} and \textit{E. A. Valdez}, Depend. Model. 5, 354--374 (2017; Zbl 1390.91320) Full Text: DOI
Gan, Guojun; Valdez, Emiliano A. Modeling partial Greeks of variable annuities with dependence. (English) Zbl 1395.91251 Insur. Math. Econ. 76, 118-134 (2017). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{G. Gan} and \textit{E. A. Valdez}, Insur. Math. Econ. 76, 118--134 (2017; Zbl 1395.91251) Full Text: DOI
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 PDFBibTeX XMLCite \textit{G. Leduc} and \textit{X. Zeng}, J. Comput. Appl. Math. 319, 56--76 (2017; Zbl 1358.41009) Full Text: DOI
Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior. (English) Zbl 1354.91066 J. Comput. Appl. Math. 311, 272-292 (2017). MSC: 91B30 60E15 65C50 PDFBibTeX XMLCite \textit{R. Feng} et al., J. Comput. Appl. Math. 311, 272--292 (2017; Zbl 1354.91066) Full Text: DOI
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 PDFBibTeX XMLCite \textit{F. Su} and \textit{K.-S. Chan}, N. Am. Actuar. J. 20, No. 2, 133--141 (2016; Zbl 1414.91390) Full Text: DOI
Hainaut, Donatien Impact of volatility clustering on equity indexed annuities. (English) Zbl 1371.91090 Insur. Math. Econ. 71, 367-381 (2016). MSC: 91B30 62P05 60G55 60J75 PDFBibTeX XMLCite \textit{D. Hainaut}, Insur. Math. Econ. 71, 367--381 (2016; Zbl 1371.91090) Full Text: DOI
Deelstra, Griselda; Grasselli, Martino; Van Weverberg, Christopher The role of the dependence between mortality and interest rates when pricing guaranteed annuity options. (English) Zbl 1371.91084 Insur. Math. Econ. 71, 205-219 (2016). MSC: 91B30 91G20 91G30 PDFBibTeX XMLCite \textit{G. Deelstra} et al., Insur. Math. Econ. 71, 205--219 (2016; Zbl 1371.91084) Full Text: DOI
Hejazi, Seyed Amir; Jackson, Kenneth R. A neural network approach to efficient valuation of large portfolios of variable annuities. (English) Zbl 1371.91092 Insur. Math. Econ. 70, 169-181 (2016). MSC: 91B30 91G20 90C25 PDFBibTeX XMLCite \textit{S. A. Hejazi} and \textit{K. R. Jackson}, Insur. Math. Econ. 70, 169--181 (2016; Zbl 1371.91092) Full Text: DOI arXiv
Pirjol, Dan; Zhu, Lingjiong Discrete sums of geometric Brownian motions, annuities and Asian options. (English) Zbl 1371.91106 Insur. Math. Econ. 70, 19-37 (2016). MSC: 91B30 60G70 60J65 91G20 PDFBibTeX XMLCite \textit{D. Pirjol} and \textit{L. Zhu}, Insur. Math. Econ. 70, 19--37 (2016; Zbl 1371.91106) Full Text: DOI arXiv
Gülpınar, Nalan; Pachamanova, Dessislava; Çanakoğlu, Ethem A robust asset-liability management framework for investment products with guarantees. (English) Zbl 1352.90050 OR Spectrum 38, No. 4, 1007-1041 (2016). MSC: 90B50 90B25 90C15 91G10 PDFBibTeX XMLCite \textit{N. Gülpınar} et al., OR Spectrum 38, No. 4, 1007--1041 (2016; Zbl 1352.90050) Full Text: DOI
Bernard, Carole; Kwak, Minsuk Semi-static hedging of variable annuities. (English) Zbl 1348.91128 Insur. Math. Econ. 67, 173-186 (2016). MSC: 91B30 91G20 PDFBibTeX XMLCite \textit{C. Bernard} and \textit{M. Kwak}, Insur. Math. Econ. 67, 173--186 (2016; Zbl 1348.91128) Full Text: DOI
Feng, Runhuan; Huang, Huaxiong Statutory financial reporting for variable annuity guaranteed death benefits: market practice, mathematical modeling and computation. (English) Zbl 1348.91144 Insur. Math. Econ. 67, 54-64 (2016). MSC: 91B30 91G20 60H30 91G60 PDFBibTeX XMLCite \textit{R. Feng} and \textit{H. Huang}, Insur. Math. Econ. 67, 54--64 (2016; Zbl 1348.91144) Full Text: DOI
Hong, Liang On the choice between two delta-hedging strategies. (English) Zbl 1398.91331 Decis. Econ. Finance 39, No. 1, 69-80 (2016). MSC: 91B30 60J10 60G50 PDFBibTeX XMLCite \textit{L. Hong}, Decis. Econ. Finance 39, No. 1, 69--80 (2016; Zbl 1398.91331) Full Text: DOI
Momeya, Romuald Hervé; Morales, Manuel On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model. (English) Zbl 1411.91576 Methodol. Comput. Appl. Probab. 18, No. 1, 107-135 (2016). MSC: 91G20 91G60 60G44 60G51 PDFBibTeX XMLCite \textit{R. H. Momeya} and \textit{M. Morales}, Methodol. Comput. Appl. Probab. 18, No. 1, 107--135 (2016; Zbl 1411.91576) Full Text: DOI
Melnikov, Alexander; Nosrati, Amir Efficient hedging for defaultable securities and its application to equity-linked life insurance contracts. (English) Zbl 1337.91105 Int. J. Theor. Appl. Finance 18, No. 7, Article ID 1550047, 28 p. (2015). MSC: 91G20 91B30 PDFBibTeX XMLCite \textit{A. Melnikov} and \textit{A. Nosrati}, Int. J. Theor. Appl. Finance 18, No. 7, Article ID 1550047, 28 p. (2015; Zbl 1337.91105) Full Text: DOI
Ko, Bangwon; Bae, Taehan Pricing guaranteed minimum death benefit contracts under the phase-type law of mortality. (English) Zbl 1335.91082 Lobachevskii J. Math. 36, No. 2, 198-207 (2015). MSC: 91G20 91B30 PDFBibTeX XMLCite \textit{B. Ko} and \textit{T. Bae}, Lobachevskii J. Math. 36, No. 2, 198--207 (2015; Zbl 1335.91082) Full Text: DOI
Horneff, Vanya; Maurer, Raimond; Mitchell, Olivia S.; Rogalla, Ralph Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection. (English) Zbl 1348.91147 Insur. Math. Econ. 63, 91-107 (2015). MSC: 91B30 91G10 93E20 PDFBibTeX XMLCite \textit{V. Horneff} et al., Insur. Math. Econ. 63, 91--107 (2015; Zbl 1348.91147) Full Text: DOI Link
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 PDFBibTeX XMLCite \textit{G. Gan} and \textit{X. S. Lin}, Insur. Math. Econ. 62, 138--150 (2015; Zbl 1318.91112) Full Text: DOI
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 PDFBibTeX XMLCite \textit{K. Fan} et al., Insur. Math. Econ. 62, 62--78 (2015; Zbl 1318.91111) Full Text: DOI
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 PDFBibTeX XMLCite \textit{L.-Y. Qian} et al., Acta Math. Appl. Sin., Engl. Ser. 31, No. 1, 101--110 (2015; Zbl 1326.60111) Full Text: DOI
Chang, Chih-Kai A dimension-reduction algorithm for the valuation of surrender options in EIA contracts with stochastic interest rates. (English) Zbl 07312554 Math. Comput. Simul. 97, 39-52 (2014). MSC: 91-XX 62-XX PDFBibTeX XMLCite \textit{C.-K. Chang}, Math. Comput. Simul. 97, 39--52 (2014; Zbl 07312554) Full Text: DOI
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 PDFBibTeX XMLCite \textit{C. Bernard} et al., ASTIN Bull. 44, No. 3, 559--585 (2014; Zbl 1431.91318) Full Text: DOI Link
Feng, Runhuan A comparative study of risk measures for guaranteed minimum maturity benefits by a PDE method. (English) Zbl 1414.91184 N. Am. Actuar. J. 18, No. 4, 445-461 (2014). MSC: 91B30 91G60 65M99 PDFBibTeX XMLCite \textit{R. Feng}, N. Am. Actuar. J. 18, No. 4, 445--461 (2014; Zbl 1414.91184) Full Text: DOI
Hardy, M. R.; Saunders, D.; Zhu, X. Market-consistent valuation and funding of cash balance pensions. (English) Zbl 1414.91197 N. Am. Actuar. J. 18, No. 2, 294-314 (2014). MSC: 91B30 PDFBibTeX XMLCite \textit{M. R. Hardy} et al., N. Am. Actuar. J. 18, No. 2, 294--314 (2014; Zbl 1414.91197) Full Text: DOI
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 PDFBibTeX XMLCite \textit{L. Xu} et al., Abstr. Appl. Anal. 2014, Article ID 380718, 9 p. (2014; Zbl 1471.91489) Full Text: DOI
Zou, Bin; Cadenillas, Abel Explicit solutions of optimal consumption, investment and insurance problems with regime switching. (English) Zbl 1304.91142 Insur. Math. Econ. 58, 159-167 (2014). MSC: 91B30 91G10 PDFBibTeX XMLCite \textit{B. Zou} and \textit{A. Cadenillas}, Insur. Math. Econ. 58, 159--167 (2014; Zbl 1304.91142) Full Text: DOI arXiv
Melnikov, Alexander; Tong, Shuo Quantile hedging on equity-linked life insurance contracts with transaction costs. (English) Zbl 1304.91122 Insur. Math. Econ. 58, 77-88 (2014). MSC: 91B30 PDFBibTeX XMLCite \textit{A. Melnikov} and \textit{S. Tong}, Insur. Math. Econ. 58, 77--88 (2014; Zbl 1304.91122) Full Text: DOI
Delong, Łukasz Pricing and hedging of variable annuities with state-dependent fees. (English) Zbl 1304.91098 Insur. Math. Econ. 58, 24-33 (2014). MSC: 91B30 91G20 60H10 60H30 60G51 PDFBibTeX XMLCite \textit{Ł. Delong}, Insur. Math. Econ. 58, 24--33 (2014; Zbl 1304.91098) Full Text: DOI
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 PDFBibTeX XMLCite \textit{L. Qian} et al., Commun. Stat., Theory Methods 43, No. 14, 2870--2885 (2014; Zbl 1297.91140) Full Text: DOI
Bernard, Carole; MacKay, Anne; Muehlbeyer, Max Optimal surrender policy for variable annuity guarantees. (English) Zbl 1296.91144 Insur. Math. Econ. 55, 116-128 (2014). MSC: 91B30 91G20 PDFBibTeX XMLCite \textit{C. Bernard} et al., Insur. Math. Econ. 55, 116--128 (2014; Zbl 1296.91144) Full Text: DOI
Kling, Alexander; Ruß, Jochen; Schilling, Katja Risk analysis of annuity conversion options in a stochastic mortality environment. (English) Zbl 1290.91165 Astin Bull. 44, No. 2, 197-236 (2014). MSC: 91G20 91B30 PDFBibTeX XMLCite \textit{A. Kling} et al., ASTIN Bull. 44, No. 2, 197--236 (2014; Zbl 1290.91165) Full Text: DOI Link
Tang, Qihe; Yuan, Zhongyi Asymptotic analysis of the loss given default in the presence of multivariate regular variation. (English) Zbl 1412.91056 N. Am. Actuar. J. 17, No. 3, 253-271 (2013). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{Q. Tang} and \textit{Z. Yuan}, N. Am. Actuar. J. 17, No. 3, 253--271 (2013; Zbl 1412.91056) Full Text: DOI
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 PDFBibTeX XMLCite \textit{X. Wei} et al., N. Am. Actuar. J. 17, No. 3, 229--252 (2013; Zbl 1412.91058) Full Text: DOI HAL
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 PDFBibTeX XMLCite \textit{B. M. Hartman} and \textit{C. Groendyke}, N. Am. Actuar. J. 17, No. 3, 216--228 (2013; Zbl 1412.91044) Full Text: DOI
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 PDFBibTeX XMLCite \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
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 PDFBibTeX XMLCite \textit{P. Chen} and \textit{S. C. P. Yam}, Insur. Math. Econ. 53, No. 3, 871--883 (2013; Zbl 1290.91079) Full Text: DOI
Deelstra, Griselda; Rayée, Grégory Pricing variable annuity guarantees in a local volatility framework. (English) Zbl 1290.91158 Insur. Math. Econ. 53, No. 3, 650-663 (2013). MSC: 91G20 91B30 PDFBibTeX XMLCite \textit{G. Deelstra} and \textit{G. Rayée}, Insur. Math. Econ. 53, No. 3, 650--663 (2013; Zbl 1290.91158) Full Text: DOI arXiv
Liu, Xiaoming; Mamon, Rogemar; Gao, Huan A comonotonicity-based valuation method for guaranteed annuity options. (English) Zbl 1285.91130 J. Comput. Appl. Math. 250, 58-69 (2013). MSC: 91G20 PDFBibTeX XMLCite \textit{X. Liu} et al., J. Comput. Appl. Math. 250, 58--69 (2013; Zbl 1285.91130) Full Text: DOI
Bae, Taehan; Ko, Bangwon Pricing maturity guarantee under a refracted Brownian motion. (English) Zbl 1284.91538 Lobachevskii J. Math. 34, No. 3, 234-247 (2013). Reviewer: Tomáš Cipra (Praha) MSC: 91G20 91B30 60G22 60H30 91G60 PDFBibTeX XMLCite \textit{T. Bae} and \textit{B. Ko}, Lobachevskii J. Math. 34, No. 3, 234--247 (2013; Zbl 1284.91538) Full Text: DOI
Detering, Nils; Weber, Andreas; Wystup, Uwe Return distributions of equity-linked retirement plans under jump and interest rate risk. (English) Zbl 1278.91135 Eur. Actuar. J. 3, No. 1, 203-228 (2013). Reviewer: Hanspeter Schmidli (Köln) MSC: 91G10 91B30 PDFBibTeX XMLCite \textit{N. Detering} et al., Eur. Actuar. J. 3, No. 1, 203--228 (2013; Zbl 1278.91135) Full Text: DOI
Tang, Qihe; Yuan, Zhongyi A hybrid estimate for the finite-time ruin probability in a bivariate autoregressive risk model with application to portfolio optimization. (English) Zbl 1291.91128 N. Am. Actuar. J. 16, No. 3, 378-397 (2012). MSC: 91B30 62M10 91G10 PDFBibTeX XMLCite \textit{Q. Tang} and \textit{Z. Yuan}, N. Am. Actuar. J. 16, No. 3, 378--397 (2012; Zbl 1291.91128) Full Text: DOI
Marshall, Claymore; Hardy, Mary; Saunders, David Measuring the effectiveness of static hedging strategies for a guaranteed minimum income benefit. (English) Zbl 1291.91244 N. Am. Actuar. J. 16, No. 2, 143-182 (2012). MSC: 91G70 91B30 PDFBibTeX XMLCite \textit{C. Marshall} et al., N. Am. Actuar. J. 16, No. 2, 143--182 (2012; Zbl 1291.91244) Full Text: DOI
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 PDFBibTeX XMLCite \textit{R. Feng} and \textit{H. W. Volkmer}, Insur. Math. Econ. 51, No. 3, 636--648 (2012; Zbl 1285.91055) Full Text: DOI
Feng, Runhuan; Volkmer, Hans W. Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach. (English) Zbl 1284.91561 Insur. Math. Econ. 51, No. 2, 409-421 (2012). MSC: 91G40 91B30 91G60 PDFBibTeX XMLCite \textit{R. Feng} and \textit{H. W. Volkmer}, Insur. Math. Econ. 51, No. 2, 409--421 (2012; Zbl 1284.91561) Full Text: DOI
Gaillardetz, Patrice; Li, Huan Yi; MacKay, Anne Equity-linked products: evaluation of the dynamic hedging errors under stochastic mortality. (English) Zbl 1260.91235 Eur. Actuar. J. 2, No. 2, 243-258 (2012). MSC: 91G20 91B30 PDFBibTeX XMLCite \textit{P. Gaillardetz} et al., Eur. Actuar. J. 2, No. 2, 243--258 (2012; Zbl 1260.91235) Full Text: DOI
Guo, Beibei; Wu, Yuehua; Xie, Hong; Miao, Baiqi A segmented regime-switching model with its application to stock market indices. (English) Zbl 1514.62207 J. Appl. Stat. 38, No. 10, 2241-2252 (2011). MSC: 62P05 62M10 PDFBibTeX XMLCite \textit{B. Guo} et al., J. Appl. Stat. 38, No. 10, 2241--2252 (2011; Zbl 1514.62207) Full Text: DOI
Nielsen, J. Aase; Sandmann, Klaus; Schlögl, Erik Equity-linked pension schemes with guarantees. (English) Zbl 1228.91045 Insur. Math. Econ. 49, No. 3, 547-564 (2011). MSC: 91B30 91G50 91G20 PDFBibTeX XMLCite \textit{J. A. Nielsen} et al., Insur. Math. Econ. 49, No. 3, 547--564 (2011; Zbl 1228.91045) Full Text: DOI Link
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 PDFBibTeX XMLCite \textit{B. M. Hartman} and \textit{M. J. Heaton}, Insur. Math. Econ. 49, No. 3, 429--437 (2011; Zbl 1228.91075) Full Text: DOI
Ng, Andrew Cheuk-Yin; Li, Johnny Siu-Hang Valuing variable annuity guarantees with the multivariate Esscher transform. (English) Zbl 1228.91044 Insur. Math. Econ. 49, No. 3, 393-400 (2011). MSC: 91B30 60K10 PDFBibTeX XMLCite \textit{A. C. Y. Ng} and \textit{J. S. H. Li}, Insur. Math. Econ. 49, No. 3, 393--400 (2011; Zbl 1228.91044) Full Text: DOI
Chen, Ping; Yang, Hailiang Markowitz’s mean-variance asset-liability management with regime switching: a multi-period model. (English) Zbl 1213.91137 Appl. Math. Finance 18, No. 1-2, 29-50 (2011). MSC: 91G10 91G50 PDFBibTeX XMLCite \textit{P. Chen} and \textit{H. Yang}, Appl. Math. Finance 18, No. 1--2, 29--50 (2011; Zbl 1213.91137) Full Text: DOI
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 PDFBibTeX XMLCite \textit{L. Qian} et al., Insur. Math. Econ. 47, No. 2, 123--129 (2010; Zbl 1231.91446) Full Text: DOI
Branger, Nicole; Mahayni, Antje; Schneider, Judith C. On the optimal design of insurance contracts with guarantees. (English) Zbl 1231.91147 Insur. Math. Econ. 46, No. 3, 485-492 (2010). MSC: 91B30 91G10 PDFBibTeX XMLCite \textit{N. Branger} et al., Insur. Math. Econ. 46, No. 3, 485--492 (2010; Zbl 1231.91147) Full Text: DOI
Lim, Andrew E. B.; Wong, Bernard A benchmarking approach to optimal asset allocation for insurers and pension funds. (English) Zbl 1231.91408 Insur. Math. Econ. 46, No. 2, 317-327 (2010). MSC: 91G10 91B30 PDFBibTeX XMLCite \textit{A. E. B. Lim} and \textit{B. Wong}, Insur. Math. Econ. 46, No. 2, 317--327 (2010; Zbl 1231.91408) Full Text: DOI
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 PDFBibTeX XMLCite \textit{F. L. Yuen} and \textit{H. Yang}, N. Am. Actuar. J. 14, No. 2, 256--280 (2010; Zbl 1219.91145) Full Text: DOI
Ahn, Jae Youn; Shyamalkumar, Nariankadu D. An asymptotic analysis of the bootstrap bias correction for the empirical CTE. (English) Zbl 1219.62071 N. Am. Actuar. J. 14, No. 2, 217-234 (2010). MSC: 62G09 62G07 60F05 62G20 65C60 PDFBibTeX XMLCite \textit{J. Y. Ahn} and \textit{N. D. Shyamalkumar}, N. Am. Actuar. J. 14, No. 2, 217--234 (2010; Zbl 1219.62071) Full Text: DOI
Bernard, Carole; Le Courtois, Olivier; Quittard-Pinon, François Protection of a company issuing a certain class of participating policies in a complete market framework. (English) Zbl 1219.91065 N. Am. Actuar. J. 14, No. 1, 131-156 (2010). MSC: 91B30 PDFBibTeX XMLCite \textit{C. Bernard} et al., N. Am. Actuar. J. 14, No. 1, 131--156 (2010; Zbl 1219.91065) Full Text: DOI
Chen, Ping; Yang, Hailiang Pension funding problem with regime-switching geometric Brownian motion assets and liabilities. (English) Zbl 1224.91050 Appl. Stoch. Models Bus. Ind. 26, No. 2, 125-141 (2010). Reviewer: A. D. Borisenko (Kyïv) MSC: 91B30 91G50 60J70 60H30 91G60 PDFBibTeX XMLCite \textit{P. Chen} and \textit{H. Yang}, Appl. Stoch. Models Bus. Ind. 26, No. 2, 125--141 (2010; Zbl 1224.91050) Full Text: DOI Link
Gaillardetz, Patrice Pricing equity-indexed annuities under stochastic interest rates using copulas. (English) Zbl 1200.91137 J. Probab. Stat. 2010, Article ID 726389, 29 p. (2010). MSC: 91B30 91G30 62H20 62P05 91G70 PDFBibTeX XMLCite \textit{P. Gaillardetz}, J. Probab. Stat. 2010, Article ID 726389, 29 p. (2010; Zbl 1200.91137) Full Text: DOI EuDML