Jean-François Bégin

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 hurdle rate and investment policy in lifetime pension pools ASTIN Bulletin	2026-04-30	Paper
Modelling seasonal mortality: an age-period-cohort approach Insurance Mathematics & Economics	2025-11-25	Paper
A simulation and empirical study of the maximum likelihood estimator for stochastic volatility jump-diffusion models Studies in Nonlinear Dynamics and Econometrics	2025-08-26	Paper
On general semi-closed-form solutions for VIX derivative pricing Quantitative Finance	2025-03-10	Paper
Modeling and Forecasting Subnational Mortality in the Presence of Aggregated Data North American Actuarial Journal	2025-02-10	Paper
Publisher correction: ``A new approximation of annuity prices for age-period-cohort models'' European Actuarial Journal	2024-12-05	Paper
Benefit volatility-targeting strategies in lifetime pension pools Insurance Mathematics & Economics	2024-09-18	Paper
A new approximation of annuity prices for age-period-cohort models European Actuarial Journal	2024-08-26	Paper
Ensemble Economic Scenario Generators: Unity Makes Strength North American Actuarial Journal	2023-10-20	Paper
Option pricing under stochastic volatility models with latent volatility Quantitative Finance	2023-09-25	Paper
A discrete-time hedging framework with multiple factors and fat tails: on what matters Journal of Econometrics	2023-02-01	Paper
Controlling the effects of adverse selection in flexible benefit plans: a pricing-based approach Insurance Mathematics & Economics	2022-07-15	Paper
Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters Journal of Computational and Graphical Statistics	2022-03-29	Paper
On complex economic scenario generators: is less more? ASTIN Bulletin	2021-12-27	Paper
On the estimation of jump-diffusion models using intraday data: a filtering-based approach SIAM Journal on Financial Mathematics	2021-05-28	Paper
Levelling the playing field: a VIX-linked structure for funded pension schemes Insurance Mathematics & Economics	2020-11-19	Paper
Price bias and common practice in option pricing The Canadian Journal of Statistics	2020-04-28	Paper
Economic scenario generator and parameter uncertainty: a Bayesian approach ASTIN Bulletin	2019-05-29	Paper
Simulating from the Heston model: a gamma approximation scheme Monte Carlo Methods and Applications	2015-10-02	Paper

Research outcomes over time

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