Validation Of Long-Term Equity return Models For Equity-Linked Guarantees
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DOI: 10.1080/10920277.2006.10597412
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Cited by:
- Chen, Lemeng & Lazrak, Skander & Wang, Yan & Welch, Robert, 2019. "Pure momentum is priced," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 75-89.
- Hwai-Chung Ho, 2022. "Forecasting the distribution of long-horizon returns with time-varying volatility," Papers 2201.07457, arXiv.org.
- Gan, Guojun & Lin, X. Sheldon, 2015. "Valuation of large variable annuity portfolios under nested simulation: A functional data approach," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 138-150.
- Yinghui Dong & Guojing Wang & Kam C. Yuen, 2014. "Bilateral Counterparty Risk Valuation on a CDS with a Common Shock Model," Methodology and Computing in Applied Probability, Springer, vol. 16(3), pages 643-673, September.
- Herv'e Andr`es & Alexandre Boumezoued & Benjamin Jourdain, 2022. "Signature-based validation of real-world economic scenarios," Papers 2208.07251, arXiv.org, revised Apr 2024.
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