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 PDF BibTeX XML Cite \textit{K. Liu} and \textit{K. S. Tan}, N. Am. Actuar. J. 25, No. 3, 313--333 (2021; Zbl 1479.91335) Full Text: DOI OpenURL
Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate. (English) Zbl 1470.91227 Decis. Econ. Finance 44, No. 1, 57-72 (2021). MSC: 91G05 91G30 68T05 60G15 PDF BibTeX XML Cite \textit{L. Goudenège} et al., Decis. Econ. Finance 44, No. 1, 57--72 (2021; Zbl 1470.91227) Full Text: DOI arXiv OpenURL
Lin, X. Sheldon; Yang, Shuai Efficient dynamic hedging for large variable annuity portfolios with multiple underlying assets. (English) Zbl 1454.91202 ASTIN Bull. 50, No. 3, 913-957 (2020). MSC: 91G05 PDF BibTeX XML Cite \textit{X. S. Lin} and \textit{S. Yang}, ASTIN Bull. 50, No. 3, 913--957 (2020; Zbl 1454.91202) 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
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 PDF BibTeX XML Cite \textit{G. Gan} and \textit{E. A. Valdez}, N. Am. Actuar. J. 24, No. 2, 168--186 (2020; Zbl 1454.91186) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{G. Gan} and \textit{E. A. Valdez}, N. Am. Actuar. J. 24, No. 1, 100--117 (2020; Zbl 1437.91391) Full Text: DOI OpenURL
Siu, Tak Kuen; Elliott, Robert J. Hedging options in a doubly Markov-modulated financial market via stochastic flows. (English) Zbl 1431.91404 Int. J. Theor. Appl. Finance 22, No. 8, Article ID 1950047, 41 p. (2019). Reviewer: George Stoica (Saint John) MSC: 91G20 60J28 91G10 PDF BibTeX XML Cite \textit{T. K. Siu} and \textit{R. J. Elliott}, Int. J. Theor. Appl. Finance 22, No. 8, Article ID 1950047, 41 p. (2019; Zbl 1431.91404) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{G. Gan} and \textit{E. A. Valdez}, Insur. Math. Econ. 76, 118--134 (2017; Zbl 1395.91251) Full Text: DOI OpenURL
Gan, Guojun; Valdez, Emiliano A. An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios. (English) Zbl 1382.91046 Depend. Model. 4, 382-400 (2016). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{G. Gan} and \textit{E. A. Valdez}, Depend. Model. 4, 382--400 (2016; Zbl 1382.91046) Full Text: DOI OpenURL