Gao, Huan; Mamon, Rogemar; Liu, Xiaoming Risk measurement of a guaranteed annuity option under a stochastic modelling framework. (English) Zbl 07313750 Math. Comput. Simul. 132, 100-119 (2017). MSC: 91-XX 62-XX PDFBibTeX XMLCite \textit{H. Gao} et al., Math. Comput. Simul. 132, 100--119 (2017; Zbl 07313750) Full Text: DOI
Gao, Huan; Mamon, Rogemar; Liu, Xiaoming Pricing a guaranteed annuity option under correlated and regime-switching risk factors. (English) Zbl 1329.91062 Eur. Actuar. J. 5, No. 2, 309-326 (2015). MSC: 91B30 91G60 PDFBibTeX XMLCite \textit{H. Gao} et al., Eur. Actuar. J. 5, No. 2, 309--326 (2015; Zbl 1329.91062) Full Text: DOI
Gao, Huan; Mamon, Rogemar; Liu, Xiaoming; Tenyakov, Anton Mortality modelling with regime-switching for the valuation of a guaranteed annuity option. (English) Zbl 1348.91145 Insur. Math. Econ. 63, 108-120 (2015). MSC: 91B30 91G20 62P05 PDFBibTeX XMLCite \textit{H. Gao} et al., Insur. Math. Econ. 63, 108--120 (2015; Zbl 1348.91145) Full Text: DOI
Liu, Xiaoming; Mamon, Rogemar; Gao, Huan A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach. (English) Zbl 1337.91047 Stochastics 86, No. 4, 594-608 (2014). MSC: 91B30 60H30 PDFBibTeX XMLCite \textit{X. Liu} et al., Stochastics 86, No. 4, 594--608 (2014; Zbl 1337.91047) Full Text: DOI
Liu, Xiaoming; Mamon, Rogemar; Gao, Huan A comonotonicity-based valuation method for guaranteed annuity options. (English) Zbl 1285.91130 J. Comput. Appl. Math. 250, 58-69 (2013). MSC: 91G20 PDFBibTeX XMLCite \textit{X. Liu} et al., J. Comput. Appl. Math. 250, 58--69 (2013; Zbl 1285.91130) Full Text: DOI