| Publication | Date of Publication | Type |
|---|
Scenario selection with LASSO regression for the valuation of variable annuity portfolios
Insurance Mathematics & Economics | 2024-05-24 | Paper |
Pooling functional disability and mortality in long-term care insurance and care annuities: a matrix approach for multi-state pools
Insurance Mathematics & Economics | 2024-05-24 | Paper |
Taxation and policyholder behavior: the case of guaranteed minimum accumulation benefits
ASTIN Bulletin | 2024-04-30 | Paper |
Mortality forecasting using stacked regression ensembles
Scandinavian Actuarial Journal | 2022-10-26 | Paper |
An innovative design of flexible, bequest-enhanced life annuity with natural hedging
Scandinavian Actuarial Journal | 2022-09-19 | Paper |
Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method
Insurance Mathematics & Economics | 2022-07-15 | Paper |
TARGET VOLATILITY STRATEGIES FOR GROUP SELF-ANNUITY PORTFOLIOS
ASTIN Bulletin | 2022-06-13 | Paper |
A group regularisation approach for constructing generalised age-period-cohort mortality projection models
ASTIN Bulletin | 2022-04-04 | Paper |
Application of power series approximation techniques to valuation of European style options
Quantitative Finance | 2021-12-01 | Paper |
Continuous-time multi-cohort mortality modelling with affine processes
Scandinavian Actuarial Journal | 2020-09-28 | Paper |
Cohort and value-based multi-country longevity risk management
Scandinavian Actuarial Journal | 2020-09-28 | Paper |
Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
Quantitative Finance | 2019-09-26 | Paper |
Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
Quantitative Finance | 2018-11-14 | Paper |
Valuing variable annuity guarantees on multiple assets
Scandinavian Actuarial Journal | 2018-07-13 | Paper |
Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality
ASTIN Bulletin | 2018-06-05 | Paper |
Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
Insurance Mathematics & Economics | 2018-04-12 | Paper |
Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
Insurance Mathematics & Economics | 2016-12-13 | Paper |
Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
Insurance Mathematics & Economics | 2016-11-21 | Paper |
American option pricing under two stochastic volatility processes
Applied Mathematics and Computation | 2016-04-27 | Paper |
Pricing American options written on two underlying assets
Quantitative Finance | 2014-09-05 | Paper |
Pricing European options on deferred annuities
Insurance Mathematics & Economics | 2014-04-03 | Paper |
Representation of American option prices under Heston stochastic volatility dynamics using integral transforms
Contemporary Quantitative Finance | 2011-05-31 | Paper |
