VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK

Article Properties
  • Language
    English
  • DOI (url)
    10.1017/asb.2014.32
  • Publication Date
    2015/01/13
  • Journal
    ASTIN Bulletin
  • Indian UGC (journal)
  • Refrences
    43
  • Citations
    37
  • Chi Chung Siu
  • Sheung Chi Phillip Yam
  • Hailiang Yang
Abstract
Cite
Siu, Chi Chung, et al. “VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK”. ASTIN Bulletin, vol. 45, no. 2, 2015, pp. 355-9, https://doi.org/10.1017/asb.2014.32.
Siu, C. C., Yam, S. C. P., & Yang, H. (2015). VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK. ASTIN Bulletin, 45(2), 355-395. https://doi.org/10.1017/asb.2014.32
Siu CC, Yam SCP, Yang H. VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK. ASTIN Bulletin. 2015;45(2):355-9.
Journal Categories
Science
Mathematics
Science
Mathematics
Probabilities
Mathematical statistics
Social Sciences
Commerce
Business
Social Sciences
Economic theory
Demography
Economics as a science
Social Sciences
Statistics
Refrences
Title Journal Journal Categories Citations Publication Date
Valuing equity-linked death benefits in jump diffusion models Insurance: Mathematics and Economics
  • Science: Mathematics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2013
Valuing equity-linked death benefits and other contingent options: A discounted density approach Insurance: Mathematics and Economics
  • Science: Mathematics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2012
Fair valuation of life insurance contracts under a correlated jump diffusion model ASTIN Bulletin
  • Science: Mathematics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2011
Pricing maturity guarantee with dynamic withdrawal benefit Insurance: Mathematics and Economics
  • Science: Mathematics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2010
Pricing exotic options under regime switching Insurance: Mathematics and Economics
  • Science: Mathematics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2007
Citations
Title Journal Journal Categories Citations Publication Date
Valuing equity-linked guaranteed minimum death benefits with European-style Asian payoffs under a regime switching jump-diffusion model Communications in Nonlinear Science and Numerical Simulation
  • Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods
  • Science: Mathematics
  • Technology: Engineering (General). Civil engineering (General): Mechanics of engineering. Applied mechanics
  • Science: Physics: Electricity and magnetism: Electricity: Plasma physics. Ionized gases
  • Science: Mathematics
  • Science: Mathematics
  • Science: Physics
 1 2024
Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method Journal of Mathematical Analysis and Applications
  • Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods
  • Science: Mathematics
 2024
Valuation of a DB underpin hybrid pension under a regime-switching Lévy model Journal of Computational and Applied Mathematics
  • Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods
  • Science: Mathematics
 1 2023
Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk Journal of Computational and Applied Mathematics
  • Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods
  • Science: Mathematics
 2 2023
Randomization and the valuation of guaranteed minimum death benefits European Journal of Operational Research
  • Technology: Manufactures: Production management. Operations management
  • Technology: Technology (General): Industrial engineering. Management engineering
  • Technology: Engineering (General). Civil engineering (General)
 5 2023
Citations Analysis
Category Category Repetition
Science: Mathematics30
Science: Mathematics: Probabilities. Mathematical statistics15
Social Sciences: Economic theory. Demography: Economics as a science12
Social Sciences: Commerce: Business12
Social Sciences: Statistics12
Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods10
Technology: Engineering (General). Civil engineering (General)5
Social Sciences: Sociology (General)5
Technology: Manufactures: Production management. Operations management4
Social Sciences: Finance2
Technology: Technology (General): Industrial engineering. Management engineering1
Social Sciences: Commerce: Business: Personnel management. Employment management1
Technology: Engineering (General). Civil engineering (General): Mechanics of engineering. Applied mechanics1
Science: Physics: Electricity and magnetism: Electricity: Plasma physics. Ionized gases1
Science: Physics1
Social Sciences: Finance: Insurance1
The category Science: Mathematics 30 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Impact of volatility clustering on equity indexed annuities and was published in 2016. The most recent citation comes from a 2024 study titled Valuing equity-linked guaranteed minimum death benefits with European-style Asian payoffs under a regime switching jump-diffusion model. This article reached its peak citation in 2022, with 10 citations. It has been cited in 19 different journals, 15% of which are open access. Among related journals, the Journal of Computational and Applied Mathematics cited this research the most, with 6 citations. The chart below illustrates the annual citation trends for this article.
Citations used this article by year