Adam W. Kolkiewicz

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Optimal surrender policy for reverse mortgage loans ASTIN Bulletin	2025-01-22	Paper
Computation of multivariate barrier crossing probability and its applications in credit risk models North American Actuarial Journal	2022-01-19	Paper
Projection pursuit based tests of normality with functional data Journal of Statistical Planning and Inference	2021-03-01	Paper
Projection pursuit based tests of normality with functional data Journal of Statistical Planning and Inference	2021-01-06	Paper
Comparison of asymmetric stochastic volatility models under different correlation structures Journal of Applied Statistics	2020-12-04	Paper
Bayesian inference of asymmetric stochastic conditional duration models Journal of Statistical Computation and Simulation	2020-04-01	Paper
Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes North American Actuarial Journal	2019-05-28	Paper
Efficient Monte Carlo for diffusion processes using Ornstein-Uhlenbeck bridges	2019-02-18	Paper
Sampling-based inference of time deformation models with heavy tail distributions Communications in Statistics. Simulation and Computation	2016-10-26	Paper
Efficient hedging of path-dependent options International Journal of Theoretical and Applied Finance	2016-08-26	Paper
On suboptimality of delta hedging for Asian options SIAM Journal on Financial Mathematics	2015-06-26	Paper
Semi-static hedging for GMWB in variable annuities North American Actuarial Journal	2014-07-19	Paper
Efficient Monte Carlo simulation for integral functionals of Brownian motion Journal of Complexity	2014-04-01	Paper
Pricing Bermudan options using low-discrepancy mesh methods Quantitative Finance	2014-02-20	Paper
Optimal portfolio selection based on a path-dependent utility function	2011-01-15	Paper
Valuation of the Reset Options Embedded in Some Equity-Linked Insurance Products North American Actuarial Journal	2006-01-13	Paper
Volatility Risk For Regime-Switching Models North American Actuarial Journal	2006-01-06	Paper
Best monotone M-estimators The Canadian Journal of Statistics	2004-06-15	Paper
An improved simulation method for pricing high-dimensional American derivatives. Mathematics and Computers in Simulation	2003-05-19	Paper
scientific article; zbMATH DE number 1790433 (Why is no real title available?)	2002-08-28	Paper
scientific article; zbMATH DE number 1215450 (Why is no real title available?)	1998-10-26	Paper

Research outcomes over time

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