502 citations · 517 across the 9 of their papers we have counts for
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q-fin.RM2011
Calculating Variable Annuity Liability 'Greeks' Using Monte Carlo Simulation
Mark J. Cathcart, Steven Morrison, Alexander J. McNeil
Hedging methods to mitigate the exposure of variable annuity products to market risks require the calculation of market risk sensitivities (or "Greeks"). The complex, path-dependen…
math.ST2011★ 3 cited
Likelihood inference for Archimedean copulas
Marius Hofert, Martin Mächler, Alexander J. McNeil
Explicit functional forms for the generator derivatives of well-known one-parameter Archimedean copulas are derived. These derivatives are essential for likelihood inference as the…