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Mortality modelling with regime-switching for the valuation of a guaranteed annuity option
Gao, Huan; Mamon, Rogemar; Liu, Xiaoming; Tenyakov, Anton - In: Insurance / Mathematics & economics 63 (2015), pp. 108-120
Persistent link: https://www.econbiz.de/10011349846
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A linear algebraic method for pricing temporary life annuities and insurance policies
Date, Paresh; Mamon, R.; Jalen, L.; Wang, I. C. - In: Insurance / Mathematics & economics 47 (2010) 1, pp. 98-104
Persistent link: https://www.econbiz.de/10003985407
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Two methods for optimal investment with trading strategies of finite variation
Gashi, Bujar; Date, Paresh - In: IMA journal of management mathematics 23 (2012) 2, pp. 171-193
Persistent link: https://www.econbiz.de/10009548871
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Linear and non-linear filtering in mathematical finance : a review
Date, Paresh; Ponomareva, K. - In: IMA journal of management mathematics 22 (2011) 3, pp. 195-211
Persistent link: https://www.econbiz.de/10009297153
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Measuring the risk of a non-linear portfolio with fat-tailed risk factors through a probability conserving transformation
Date, Paresh; Bustreo, Roberto - In: IMA journal of management mathematics 27 (2016) 2, pp. 157-180
Persistent link: https://www.econbiz.de/10011567011
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Valuing guaranteed minimum accumulation benefits by a change of numéraire approach
Huang, Yiming; Mamon, Rogemar; Xiong, Heng - In: Insurance / Mathematics & economics 103 (2022), pp. 1-26
Persistent link: https://www.econbiz.de/10013198316
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An effective bias-corrected bagging method for the valuation of large variable annuity portfolios
Gweon, Hyukjun Jay; Li, Shu; Mamon, Rogemar - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 853-871
Persistent link: https://www.econbiz.de/10012307387