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2. Modeling mispricing risk of defined contribution pension plan with a mean–variance criteria. (2024). Wang, Zihui.
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3. Optimal management of DB pension fund under both underfunded and overfunded cases. (2023). Liang, Zongxia ; Xia, YI ; Guan, Guohui.
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5. Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk. (2017). Li, Zhongfei ; Chen, Zheng ; Zeng, Yan ; Sun, Jingyun.
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6. Multi-period defined contribution pension funds investment management with regime-switching and mortality risk. (2016). Li, Xun ; Chen, Ping ; Yao, Haixiang.
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7. The investment management for a downside-protected equity-linked annuity under interest rate risk. (2015). Han, Nan-Wei ; Hung, Mao-Wei.
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8. Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean–variance framework. (2014). Lai, Yongzeng ; Ma, Qinghua ; Jian, Minjie ; Yao, Haixiang.
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9. Age-dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners. (2014). Blake, David ; Zhang, Yumeng ; Wright, Douglas.
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10. Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model. (2013). Yang, Zhou ; Chen, Ping ; Yao, Haixiang.
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11. Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion. (2013). Blake, David ; Zhang, Yumeng ; Wright, Douglas.
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1. Valuation of a Mixture of GMIB and GMDB Variable Annuity. (2024). Han, Yichen ; Li, Luyan ; Fan, Kun ; Wan, Jiaxin.
   In: Mathematics.
   RePEc:gam:jmathe:v:12:y:2024:i:3:p:441-:d:1329602.

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2. Efficient willow tree method for variable annuities valuation and risk management☆. (2020). Sevic, Zeljko ; Xu, Wei ; Dong, Bing.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:68:y:2020:i:c:s1057521919305149.

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3. Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?. (2018). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:95:y:2018:i:c:p:148-166.

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4. An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks. (2018). Zhao, Yixing ; Mamon, Rogemar.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:78:y:2018:i:c:p:1-12.

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5. Pricing and Hedging of Long-Dated Commodity Derivatives. (2017). Chun, Benjamin Tin.
   In: PhD Thesis.
   RePEc:uts:finphd:37.

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6. Pricing and Hedging of Long-Dated Commodity Derivatives. (2017). Chun, Benjamin Tin.
   In: PhD Thesis.
   RePEc:uts:finphd:2-2017.

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7. Valuation and risk assessment of participating life insurance in the presence of credit risk. (2016). Gatzert, Nadine ; Martin, Michael ; Eckert, Johanna.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:71:y:2016:i:c:p:382-393.

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8. The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options. (2016). Grasselli, Martino ; Deelstra, Griselda ; van Weverberg, Christopher .
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:71:y:2016:i:c:p:205-219.

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9. Valuing inflation-linked death benefits under a stochastic volatility framework. (2016). Liang, Zongxia ; Sheng, Wenlong.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:69:y:2016:i:c:p:45-58.

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10. Pricing of Guaranteed Annuity Options in a Stochastic Volatility and Interest Rate Environment. (2016). Muroi, Yoshifumi ; Yoshifumi, Muroi ; Keisuke, Kizaki .
    In: Asia-Pacific Journal of Risk and Insurance.
    RePEc:bpj:apjrin:v:10:y:2016:i:2:p:133-153:n:1.

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11. Mortality modelling with regime-switching for the valuation of a guaranteed annuity option. (2015). Liu, Xiaoming ; Mamon, Rogemar ; Gao, Huan ; Tenyakov, Anton .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:63:y:2015:i:c:p:108-120.

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12. Pricing Variable Annuity Guarantees in a local volatility framework. (2013). Rayée, Grégory ; Deelstra, Griselda ; Rayee, Gregory .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:53:y:2013:i:3:p:650-663.

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13. A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions. (2013). Dai, Tian-Shyr ; Yang, Sharon S..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:52:y:2013:i:2:p:231-242.

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14. Lifetime investment and consumption using a defined-contribution pension scheme. (2012). Emms, Paul.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:36:y:2012:i:9:p:1303-1321.

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15. Valuation and hedging of the ruin-contingent life annuity (RCLA). (2012). Milevsky, Moshe ; Salisbury, Thomas S. ; Huang, Huaxiong.
    In: Papers.
    RePEc:arx:papers:1205.3686.

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16. Pricing Variable Annuity Guarantees in a Local Volatility framework. (2012). Rayée, Grégory ; Deelstra, Griselda ; Gr'egory Ray'ee, .
    In: Papers.
    RePEc:arx:papers:1204.0453.

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17. The Poisson Log-Bilinear Lee-Carter Model. (2011). Sibillo, Marilena ; Di Lorenzo, Emilia ; Haberman, Steven ; Russolillo, Maria ; Damato, Valeria.
    In: North American Actuarial Journal.
    RePEc:taf:uaajxx:v:15:y:2011:i:2:p:315-333.

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18. Equity-linked pension schemes with guarantees. (2011). Schlogl, Erik ; Sandmann, Klaus ; Schlögl, Erik, ; Nielsen, Aase J..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:49:y:2011:i:3:p:547-564.

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19. Valuation of guaranteed annuity options using a stochastic volatility model for equity prices. (2010). Pelsser, Antoon ; Plat, Richard ; van Haastrecht, Alexander.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:47:y:2010:i:3:p:266-277.

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20. A linear algebraic method for pricing temporary life annuities and insurance policies. (2010). Mamon, R. ; Date, P. ; Jalen, L. ; Wang, I. C..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:47:y:2010:i:1:p:98-104.

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21. Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility. (2009). Pelsser, Antoon ; Lord, Roger ; Schrager, David ; van Haastrecht, Alexander.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:45:y:2009:i:3:p:436-448.

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22. A policyholders utility indifference valuation model for the guaranteed annuity option. (2009). Silla, Sebastiano ; Grasselli, Matheus R.
    In: Papers.
    RePEc:arx:papers:0908.3196.

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23. Life-Cycle Finance and the Design of Pension Plans. (2009). Rindisbacher, Marcel ; Detemple, Jerome ; Bodie, Zvi ; Jérôme Detemple, .
    In: Annual Review of Financial Economics.
    RePEc:anr:refeco:v:1:y:2009:p:249-286.

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24. Equity-linked insurances and guaranteed annuity options. (2008). Burnecki, Krzysztof ; Pazdan-Siudeja, Liliana .
    In: MPRA Paper.
    RePEc:pra:mprapa:21658.

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25. The timing of annuitization: Investment dominance and mortality risk. (2007). Milevsky, Moshe ; Young, Virginia R..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:40:y:2007:i:1:p:135-144.

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26. Measuring the effect of mortality improvements on the cost of annuities. (2006). Haberman, S. ; Verrall, R. ; Khalaf-Allah, M..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:39:y:2006:i:2:p:231-249.

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27. The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case. (2006). Ballotta, Laura ; Haberman, Steven.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:38:y:2006:i:1:p:195-214.

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28. The premium and the risk of a life policy in the presence of interest rate fluctuations. (2004). Haberman, Steven ; Gerrard, Russell ; Wang, Nan.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:35:y:2004:i:3:p:537-551.

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29. Pricing and hedging guaranteed annuity options via static option replication. (2003). Pelsser, Antoon.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:33:y:2003:i:2:p:283-296.

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30. Pricing and Hedging Guaranteed Annuity Options via Static Option Replication. (2002). Pelsser, Antoon.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20020037.

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