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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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Filtering and forecasting commodity futures prices under an HMM framework
Date, Paresh; Mamon, Rogemar; Tenyakov, Anton - In: Energy economics 40 (2013), pp. 1001-1013
Persistent link: https://www.econbiz.de/10010355984
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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