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20152022
most citedImproved Algorithms for Computing Worst Value-at-Risk: Numerical Challenges and the Adaptive Rearrangement Algorithm

4 citations · 5 across the 4 of their papers we have counts for

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Showing 2017Show all

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q-fin.PR2017

Valuation of a Bermudan DB underpin hybrid pension benefit

Xiaobai Zhu, Mary Hardy, David Saunders

In this paper we consider three types of embedded options in pension benefit design. The first is the Florida second election (FSE) option, offered to public employees in the state…