{"id":"W1626940079","doi":"10.1007/s13385-015-0118-3","title":"Pricing a guaranteed annuity option under correlated and regime-switching risk factors","year":2015,"lang":"en","type":"article","venue":"European Actuarial Journal","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":16,"is_retracted":false,"has_abstract":false,"ca_institutions":"Western University","funders":"","keywords":"Markov chain; Valuation (finance); Affine transformation; Valuation of options; Benchmark (surveying); Markov chain Monte Carlo; Endowment; Mathematical optimization; Mathematics; Econometrics; Economics; Monte Carlo method; Actuarial science; Finance; Statistics","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.001102543,0.0001522649,0.0002491101,0.0001552448,0.0003785269,0.000242228,0.000191063,0.00005817681,0.000014807],"category_scores_gemma":[0.000644273,0.0001484921,0.00006907439,0.0001954747,0.00003680212,0.0002766104,0.00007335498,0.0004780577,0.0001745482],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0001074656,"about_ca_system_score_gemma":0.00003906656,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0001868753,"about_ca_topic_score_gemma":0.000004825149,"domain_scores_codex":[0.9988752,0.00002994175,0.0005384975,0.0002609635,0.0000590179,0.0002363731],"domain_scores_gemma":[0.9988667,0.0000658303,0.0006588433,0.0001542818,0.00005241284,0.0002018717],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.000435839,0.0003492074,0.03656732,0.00002339343,0.0003098761,0.00006021035,0.01960997,0.002570417,0.0002590134,0.9067107,0.001060213,0.0320438],"study_design_scores_gemma":[0.004679071,0.0004637832,0.1652604,0.00008876316,0.00008861664,0.0004373624,0.001910806,0.01293427,0.00002642433,0.7754402,0.03773402,0.0009362344],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.3026448,0.0004167031,0.6911637,0.0001262969,0.000613084,0.00008851614,0.0000174949,0.00003627074,0.004893079],"genre_scores_gemma":[0.997701,0.0001497993,0.001353241,0.0001011969,0.0005957102,0.000001082527,0.000004646842,0.00003146087,0.00006186439],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.6950562,"threshold_uncertainty_score":0.6055333,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.04429559092529729,"score_gpt":0.2271237407532589,"score_spread":0.1828281498279616,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}