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Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk.
Wei Zhong
Benxuan Shi
Zhimin Zhang
Published in:
J. Comput. Appl. Math. (2024)
Keyphrases
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probabilistic model
model selection
statistical models
markov chain
data sets
information retrieval
graphical models
parameter estimation
historical data
parametric models
minimum cost