2 citations · 3 across the 6 of their papers we have counts for
7 papers
Backward Simulation of Multivariate Mixed Poisson Processes
Michael Chiu, Kenneth R. Jackson, Alexander Kreinin
The simulation of correlated multivariate Poisson processes with negative correlation between their components has many important applications in Finance, Insurance, Geophysics, an…
Mixing LSMC and PDE Methods to Price Bermudan Options
David Farahany, Kenneth Jackson, Sebastian Jaimungal
We develop a mixed least squares Monte Carlo-partial differential equation (LSMC-PDE) method for pricing Bermudan style options on assets whose volatility is stochastic. The algori…
Correlated Multivariate Poisson Processes and Extreme Measures
Michael Chiu, Kenneth R. Jackson, Alexander Kreinin
Multivariate Poisson processes have many important applications in Insurance, Finance, and many other areas of Applied Probability. In this paper we study the backward simulation a…
A Spatial Interpolation Framework for Efficient Valuation of Large Portfolios of Variable Annuities
Seyed Amir Hejazi, Kenneth R. Jackson, Guojun Gan
Variable Annuity (VA) products expose insurance companies to considerable risk because of the guarantees they provide to buyers of these products. Managing and hedging these risks…
Efficient Valuation of SCR via a Neural Network Approach
Seyed Amir Hejazi, Kenneth R. Jackson
As part of the new regulatory framework of Solvency II, introduced by the European Union, insurance companies are required to monitor their solvency by computing a key risk metric…
A Neural Network Approach to Efficient Valuation of Large Portfolios of Variable Annuities
Seyed Amir Hejazi, Kenneth R. Jackson
Managing and hedging the risks associated with Variable Annuity (VA) products require intraday valuation of key risk metrics for these products. The complex structure of VA product…