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Regression modeling for the valuation of large variable annuity portfolios
Gan, Guojun; Valdez, Emiliano - In: North American actuarial journal 22 (2018) 1, pp. 40-54
Persistent link: https://www.econbiz.de/10012267976
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Fat-tailed regression modeling with spliced distributions
Gan, Guojun; Valdez, Emiliano - In: North American actuarial journal 22 (2018) 4, pp. 554-573
Persistent link: https://www.econbiz.de/10012268127
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Efficient Greek calculation of variable annuity portfolios for dynamic hedging : a two-level metamodeling approach
Gan, Guojun; Lin, X. Sheldon - In: North American actuarial journal 21 (2017) 2, pp. 161-177
Persistent link: https://www.econbiz.de/10011858005
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The tail Stein's identity with applications to risk measures
Landsman, Zinoviy; Valdez, Emiliano - In: North American actuarial journal 20 (2016) 4, pp. 313-326
Persistent link: https://www.econbiz.de/10011721394