Citations (17)
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Patrice Gaillardetz & Emmanuel Osei Mireku. (2022) Worst-Case Valuation of Equity-Linked Products Using Risk-Minimizing Strategies. North American Actuarial Journal 26:1, pages 64-81.
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Yinghui Dong, Kam Chuen Yuen & Guojing Wang. (2018) Regime-switching pure jump processes and applications in the valuation of mortality-linked products. Communications in Statistics - Theory and Methods 47:6, pages 1372-1391.
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M. Costabile. (2017) A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model. Scandinavian Actuarial Journal 2017:3, pages 231-244.
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Maciej Augustyniak & Mathieu Boudreault. (2012) An Out-of-Sample Analysis of Investment Guarantees for Equity-Linked Products. North American Actuarial Journal 16:2, pages 183-206.
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Mathieu Boudreault & Christian-Marc Panneton. (2009) Multivariate Models of Equity Returns for Investment Guarantees Valuation. North American Actuarial Journal 13:1, pages 36-53.
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Tak Kuen Siu, Christina Erlwein & RogemarS. Mamon. (2008) The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model. North American Actuarial Journal 12:1, pages 18-46.
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Articles from other publishers (10)
Lemeng Chen, Skander Lazrak, Yan Wang & Robert Welch. (2019) Pure momentum is priced. Journal of Behavioral and Experimental Finance 22, pages 75-89.
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Kim Kwang Ik & Sun-Yong Choi. (2017) Evaluating VaR for Equity-Linked Annuities by Forecasting Volatility of S&P 500 Index Return. Korean Journal of Financial Engineering 16:1, pages 115-149.
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Byoung Hark Yoo, Bangwon Ko & Hyuk-Sung Kwon. (2016) On the Bayesian Risk Evaluation of Minimum Guarantees in Variable Annuities. Asia-Pacific Journal of Risk and Insurance 10:1, pages 21-43.
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김영민, 이석준 & 김현호. (2015) The Risk Management of Guarantee Options in Variable Annuity using Asset Allocation Strategy with Target Volatility. The Journal of Risk Management 26:2, pages 115-147.
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Guojun Gan & X. Sheldon Lin. (2015) Valuation of large variable annuity portfolios under nested simulation: A functional data approach. Insurance: Mathematics and Economics 62, pages 138-150.
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Yinghui Dong, Kam C. Yuen & Chongfeng Wu. (2014) Regime-switching shot-noise processes and longevity bond pricing. Lithuanian Mathematical Journal 54:4, pages 383-402.
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Yinghui Dong, Guojing Wang & Kam C. Yuen. (2013) Bilateral Counterparty Risk Valuation on a CDS with a Common Shock Model. Methodology and Computing in Applied Probability 16:3, pages 643-673.
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Yinghui Dong & Guojing Wang. (2013) A contagion model with Markov regime-switching intensities. Frontiers of Mathematics in China 9:1, pages 45-62.
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Pablo Durán Santomil, Luis A. Otero González, Sara Fernández López & Milagros Vivel Búa. (2011) Análisis del riesgo de renta variable en el marco de solvencia II: modelos internos frente al modelo estándar. Cuadernos de Economía y Dirección de la Empresa 14:2, pages 91-101.
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Guojun Gan & X. Sheldon Lin. (2013) Valuation of Large Variable Annuity Portfolios Under Nested Simulations: A Functional Data Approach. SSRN Electronic Journal.
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