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The valuation of a guaranteed minimum maturity benefit under a regime-switching framework

Mamon, Rogemar; Xiong, Heng; Zhao, Yixing - In: North American actuarial journal : NAAJ ; leading the … 25 (2021) 3, pp. 334-359

Persistent link: https://www.econbiz.de/10012623433

An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks

Zhao, Yixing; Mamon, Rogemar - In: Insurance / Mathematics & economics 78 (2018), pp. 1-12

Persistent link: https://www.econbiz.de/10011825060

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

A novel perspective on forecasting non-ferrous metals' volatility : integrating deep learning techniques with econometric models

Shu, Qi; Xiong, Heng; Jiang, Wenjun; Mamon, Rogemar - In: Finance research letters 58 (2023) 3, pp. 1-8

Persistent link: https://www.econbiz.de/10014631583

How do foreign investors affect China's stock return volatility? : evidence from the Shanghai-Hong Kong Stock Connect Program

Chen, Weihua; Mamon, Rogemar; Xiong, Heng; Zeng, Pingping - In: Asia-Pacific journal of accounting & economics : … 31 (2024) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10014489077

Optimal commissions and subscriptions in mutual aid platforms

Zhao, Yixing; Zeng, Yan - In: ASTIN bulletin : the journal of the International … 53 (2023) 3, pp. 658-683

Persistent link: https://www.econbiz.de/10014342971

Putting a price tag on temperature

Xiong, Heng; Mamon, Rogemar - In: Computational Management Science : CMS 15 (2018) 2, pp. 259-296

Persistent link: https://www.econbiz.de/10011876585

Optimal Commissions and Subscriptions in Mutual Aid Platforms

Zhao, Yixing; Zeng, Yan - 2021

This paper investigates an operation mechanism for mutual aid platforms to develop more sustainably and profitably. A mutual aid platform is an online risk-sharing platform for risk-heterogeneous participants, and the platform extracts revenues by charging participants commission and...

Persistent link: https://www.econbiz.de/10013239074

Valuation of cash flows under random rates of interest : a linear algebraic approach

Date, Paresh; Mamon, Rogemar; Wang, I. C. - In: Insurance / Mathematics & economics 41 (2007) 1, pp. 84-95

Persistent link: https://www.econbiz.de/10003755674

Modelling exchange-driven fish price dynamics

Xiang, Rui; Jones, Colin; Mamon, Rogemar; Chavez, Marierose - In: Journal of Modelling in Management 16 (2021) 4, pp. 1054-1069

Purpose: This paper aims to put forward and compare two accessible approaches to model and forecast spot prices in the fishing industry. The first modelling approach is a Markov-switching model (MSM) in which a Markov chain captures different economic regimes and a stochastic convenience yield...

Persistent link: https://www.econbiz.de/10012640811