Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham Optimal control of the decumulation of a retirement portfolio with variable spending and dynamic asset allocation. (English) Zbl 1476.65280 ASTIN Bull. 51, No. 3, 905-938 (2021). MSC: 65N06 65N12 35Q93 91G05 PDF BibTeX XML Cite \textit{P. A. Forsyth} et al., ASTIN Bull. 51, No. 3, 905--938 (2021; Zbl 1476.65280) Full Text: DOI arXiv OpenURL
Ankirchner, Stefan; Blanchet-Scalliet, Christophette; Kazi-Tani, Nabil; Zhou, Chao Gambling for resurrection and the heat equation on a triangle. (English) Zbl 07410968 Appl. Math. Optim. 84, No. 3, 3111-3136 (2021). MSC: 60G44 49L20 35C10 PDF BibTeX XML Cite \textit{S. Ankirchner} et al., Appl. Math. Optim. 84, No. 3, 3111--3136 (2021; Zbl 07410968) Full Text: DOI HAL OpenURL
Azcue, Pablo; Muler, Nora A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme. (English) Zbl 1468.49027 Appl. Math. Optim. 83, No. 3, 1613-1649 (2021). MSC: 49L12 49L25 35F21 91B64 PDF BibTeX XML Cite \textit{P. Azcue} and \textit{N. Muler}, Appl. Math. Optim. 83, No. 3, 1613--1649 (2021; Zbl 1468.49027) Full Text: DOI arXiv OpenURL
Li, Johnny Siu-Hang; Liu, Yanxin Recent declines in life expectancy: implication on longevity risk hedging. (English) Zbl 1465.91095 Insur. Math. Econ. 99, 376-394 (2021). MSC: 91G05 60H30 35Q91 PDF BibTeX XML Cite \textit{J. S. H. Li} and \textit{Y. Liu}, Insur. Math. Econ. 99, 376--394 (2021; Zbl 1465.91095) Full Text: DOI OpenURL
Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham Optimal asset allocation for DC pension decumulation with a variable spending rule. (English) Zbl 1447.91138 ASTIN Bull. 50, No. 2, 419-447 (2020). MSC: 91G05 93E20 35R09 PDF BibTeX XML Cite \textit{P. A. Forsyth} et al., ASTIN Bull. 50, No. 2, 419--447 (2020; Zbl 1447.91138) Full Text: DOI 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
Li, Johnny Siu-Hang; Liu, Yanxin The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty. (English) Zbl 1446.91066 Insur. Math. Econ. 93, 1-26 (2020). MSC: 91G05 35K05 35Q92 PDF BibTeX XML Cite \textit{J. S. H. Li} and \textit{Y. Liu}, Insur. Math. Econ. 93, 1--26 (2020; Zbl 1446.91066) Full Text: DOI OpenURL
Guan, Chonghu A fully nonlinear free boundary problem for minimizing the ruin probability. (English) Zbl 1440.35348 Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 198, Article ID 111924, 14 p. (2020). MSC: 35R35 35Q91 91B70 93E20 PDF BibTeX XML Cite \textit{C. Guan}, Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 198, Article ID 111924, 14 p. (2020; Zbl 1440.35348) Full Text: DOI OpenURL
Ma, Jingtang; Wang, Han Convergence rates of moving mesh methods for moving boundary partial integro-differential equations from regime-switching jump-diffusion Asian option pricing. (English) Zbl 1447.65029 J. Comput. Appl. Math. 370, Article ID 112598, 16 p. (2020). Reviewer: Srinivasan Natesan (Assam) MSC: 65M06 65M12 91G60 35R09 45K05 91G20 35R37 65M15 PDF BibTeX XML Cite \textit{J. Ma} and \textit{H. Wang}, J. Comput. Appl. Math. 370, Article ID 112598, 16 p. (2020; Zbl 1447.65029) Full Text: DOI OpenURL
Li, Danping; Young, Virginia R. Optimal reinsurance to minimize the discounted probability of ruin under ambiguity. (English) Zbl 1410.91274 Insur. Math. Econ. 87, 143-152 (2019). MSC: 91B30 90C15 35Q91 PDF BibTeX XML Cite \textit{D. Li} and \textit{V. R. Young}, Insur. Math. Econ. 87, 143--152 (2019; Zbl 1410.91274) Full Text: DOI OpenURL
Li, Shuanming; Lu, Yi; Sendova, Kristina P. The expected discounted penalty function: from infinite time to finite time. (English) Zbl 1411.91303 Scand. Actuar. J. 2019, No. 4, 336-354 (2019). MSC: 91B30 35Q91 45K05 PDF BibTeX XML Cite \textit{S. Li} et al., Scand. Actuar. J. 2019, No. 4, 336--354 (2019; Zbl 1411.91303) 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
Song, Haiming; Wang, Xiaoshen; Zhang, Kai; Zhang, Qi Primal-dual active set method for American lookback put option pricing. (English) Zbl 1392.35315 East Asian J. Appl. Math. 7, No. 3, 603-614 (2017). Reviewer: Valery V. Karachik (Chelyabinsk) MSC: 35Q91 65K10 65M12 65M60 35A35 91B24 65M06 65N30 35R35 91G20 91G60 PDF BibTeX XML Cite \textit{H. Song} et al., East Asian J. Appl. Math. 7, No. 3, 603--614 (2017; Zbl 1392.35315) Full Text: DOI OpenURL
Ragulina, Olena The risk model with stochastic premiums, dependence and a threshold dividend strategy. (English) Zbl 1410.91284 Mod. Stoch., Theory Appl. 4, No. 4, 315-351 (2017). MSC: 91B30 60G55 62P05 35R09 PDF BibTeX XML Cite \textit{O. Ragulina}, Mod. Stoch., Theory Appl. 4, No. 4, 315--351 (2017; Zbl 1410.91284) Full Text: DOI arXiv 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
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
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
Bayraktar, Erhan; Promislow, S. David; Young, Virginia R. Purchasing term life insurance to reach a bequest goal while consuming. (English) Zbl 1339.91105 SIAM J. Financ. Math. 7, 183-214 (2016). MSC: 91G10 91B30 49L20 35Q91 PDF BibTeX XML Cite \textit{E. Bayraktar} et al., SIAM J. Financ. Math. 7, 183--214 (2016; Zbl 1339.91105) Full Text: DOI arXiv 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
Wang, Wei The perturbed Sparre Andersen model with interest and a threshold dividend strategy. (English) Zbl 1334.60127 Methodol. Comput. Appl. Probab. 17, No. 2, 251-283 (2015). MSC: 60H30 60H10 60J60 60K10 60K05 91B30 35R09 PDF BibTeX XML Cite \textit{W. Wang}, Methodol. Comput. Appl. Probab. 17, No. 2, 251--283 (2015; Zbl 1334.60127) Full Text: DOI OpenURL
Willmot, Gordon E. On a partial integrodifferential equation of Seal’s type. (English) Zbl 1318.91124 Insur. Math. Econ. 62, 54-61 (2015). MSC: 91B30 35Q91 35R09 45K05 PDF BibTeX XML Cite \textit{G. E. Willmot}, Insur. Math. Econ. 62, 54--61 (2015; Zbl 1318.91124) 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
Macrina, Andrea; Parbhoo, Priyanka A. Randomised mixture models for pricing kernels. (English) Zbl 1368.91176 Asia-Pac. Financ. Mark. 21, No. 4, 281-315 (2014). MSC: 91G30 35K08 60G44 60G51 60J25 PDF BibTeX XML Cite \textit{A. Macrina} and \textit{P. A. Parbhoo}, Asia-Pac. Financ. Mark. 21, No. 4, 281--315 (2014; Zbl 1368.91176) Full Text: DOI arXiv 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
Siu, Tak Kuen A BSDE approach to risk-based asset allocation of pension funds with regime switching. (English) Zbl 1260.91233 Ann. Oper. Res. 201, 449–473 (2012). MSC: 91G10 60H15 35Q91 91G80 91A23 91G60 91B30 91B32 91A15 PDF BibTeX XML Cite \textit{T. K. Siu}, Ann. Oper. Res. 201, 449--473 (2012; Zbl 1260.91233) Full Text: DOI OpenURL
Bélanger, A. C.; Forsyth, P. A.; Labahn, G. Valuing the guaranteed minimum death benefit clause with partial withdrawals. (English) Zbl 1189.91066 Appl. Math. Finance 16, No. 5-6, 451-496 (2009). Reviewer: Giovanni Puccetti (Firenze) MSC: 91B30 60H15 35Q91 49N25 PDF BibTeX XML Cite \textit{A. C. Bélanger} et al., Appl. Math. Finance 16, No. 5--6, 451--496 (2009; Zbl 1189.91066) Full Text: DOI Link 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
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
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung A PDE approach for risk measures for derivatives with regime switching. (English) Zbl 1233.91271 Ann. Finance 4, No. 1, 55-74 (2008). MSC: 91G20 91B30 60J70 35Q91 PDF BibTeX XML Cite \textit{R. J. Elliott} et al., Ann. Finance 4, No. 1, 55--74 (2008; Zbl 1233.91271) Full Text: DOI OpenURL
Tchuenche, Jean M. Theoretical population dynamics model of a genetically transmitted disease: Sickle-cell anaemia. (English) Zbl 1139.92311 Bull. Math. Biol. 69, No. 2, 699-730 (2007). MSC: 92C50 92D25 35Q80 44A10 34C60 PDF BibTeX XML Cite \textit{J. M. Tchuenche}, Bull. Math. Biol. 69, No. 2, 699--730 (2007; Zbl 1139.92311) Full Text: DOI OpenURL
Milevsky, Moshe A.; Moore, Kristen S.; Young, Virginia R. Asset allocation and annuity-purchase strategies to minimize the probability of financial ruin. (English) Zbl 1130.91031 Math. Finance 16, No. 4, 647-671 (2006). MSC: 91B30 91B28 49L20 60H10 60H30 35R35 35R60 PDF BibTeX XML Cite \textit{M. A. Milevsky} et al., Math. Finance 16, No. 4, 647--671 (2006; Zbl 1130.91031) Full Text: DOI Link OpenURL
Shen, Weixi; Xu, Huiping The valuation of unit-linked policies with or without surrender options. (English) Zbl 1110.91016 Insur. Math. Econ. 36, No. 1, 79-92 (2005). MSC: 91B28 35R35 PDF BibTeX XML Cite \textit{W. Shen} and \textit{H. Xu}, Insur. Math. Econ. 36, No. 1, 79--92 (2005; Zbl 1110.91016) Full Text: DOI OpenURL
Dai, Min; Kwok, Yue Kuen; Wu, Li Xin Options with multiple reset rights. (English) Zbl 1079.91024 Int. J. Theor. Appl. Finance 6, No. 6, 637-653 (2003). MSC: 91B28 35R35 PDF BibTeX XML Cite \textit{M. Dai} et al., Int. J. Theor. Appl. Finance 6, No. 6, 637--653 (2003; Zbl 1079.91024) Full Text: DOI OpenURL