Huang, Yiming; Mamon, Rogemar; Xiong, Heng Valuing guaranteed minimum accumulation benefits by a change of numéraire approach. (English) Zbl 07487255 Insur. Math. Econ. 103, 1-26 (2022). MSC: 91G05 PDF BibTeX XML Cite \textit{Y. Huang} et al., Insur. Math. Econ. 103, 1--26 (2022; Zbl 07487255) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{H. Gweon} et al., ASTIN Bull. 50, No. 3, 853--871 (2020; Zbl 1454.91189) 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
Zhao, Yixing; Mamon, Rogemar Annuity contract valuation under dependent risks. (English) Zbl 1443.91255 Japan J. Ind. Appl. Math. 37, No. 1, 1-23 (2020). MSC: 91G05 91G30 PDF BibTeX XML Cite \textit{Y. Zhao} and \textit{R. Mamon}, Japan J. Ind. Appl. Math. 37, No. 1, 1--23 (2020; Zbl 1443.91255) 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
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
Liu, Xiaoming; Mamon, Rogemar; Gao, Huan A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach. (English) Zbl 1337.91047 Stochastics 86, No. 4, 594-608 (2014). MSC: 91B30 60H30 PDF BibTeX XML Cite \textit{X. Liu} et al., Stochastics 86, No. 4, 594--608 (2014; Zbl 1337.91047) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{X. Liu} et al., J. Comput. Appl. Math. 250, 58--69 (2013; Zbl 1285.91130) Full Text: DOI OpenURL
Jalen, Luka; Mamon, Rogemar Valuation of contingent claims with mortality and interest rate risks. (English) Zbl 1171.91349 Math. Comput. Modelling 49, No. 9-10, 1893-1904 (2009). MSC: 91B30 PDF BibTeX XML Cite \textit{L. Jalen} and \textit{R. Mamon}, Math. Comput. Modelling 49, No. 9--10, 1893--1904 (2009; Zbl 1171.91349) Full Text: DOI OpenURL
Siu, Tak Kuen; Erlwein, Christina; Mamon, Rogemar S. The pricing of credit default swaps under a Markov-modulated Merton’s structural model. (English) Zbl 1481.91211 N. Am. Actuar. J. 12, No. 1, 18-46 (2008). MSC: 91G20 91G40 35Q92 91G60 PDF BibTeX XML Cite \textit{T. K. Siu} et al., N. Am. Actuar. J. 12, No. 1, 18--46 (2008; Zbl 1481.91211) Full Text: DOI OpenURL
Mamon, Rogemar S.; Erlwein, Christina; Gopaluni, R. Bhushan Adaptive signal processing of asset price dynamics with predictability analysis. (English) Zbl 1130.91331 Inf. Sci. 178, No. 1, 203-219 (2008). MSC: 91B24 94A12 60J99 PDF BibTeX XML Cite \textit{R. S. Mamon} et al., Inf. Sci. 178, No. 1, 203--219 (2008; Zbl 1130.91331) Full Text: DOI OpenURL