{"id":"W2767346769","doi":"10.1016/j.insmatheco.2017.09.001","title":"An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks","year":2017,"lang":"en","type":"article","venue":"Insurance Mathematics and Economics","topic":"Insurance, Mortality, Demography, Risk Management","field":"Social Sciences","cited_by":9,"is_retracted":false,"has_abstract":false,"ca_institutions":"Western University","funders":"Division of Mathematical Sciences; Philippine Council for Industry, Energy, and Emerging Technology Research and Development; Natural Sciences and Engineering Research Council of Canada","keywords":"Annuity; Life annuity; Valuation (finance); Quantile; Econometrics; Interest rate swap; Actuarial science; Economics; Interest rate; Mathematics; Computer science; Finance","routes":{"ca_aff":true,"ca_fund":true,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.002498882,0.00102027,0.001764832,0.001352732,0.0008083674,0.00308894,0.002481712,0.00290302,0.01071262],"category_scores_gemma":[0.008416527,0.0007292868,0.001140111,0.001251026,0.001014092,0.002192154,0.002671101,0.002212758,0.00165825],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001498647,"about_ca_system_score_gemma":0.003269868,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.003417291,"about_ca_topic_score_gemma":0.003576224,"domain_scores_codex":[0.9991322,0.0002781575,0.00006695775,0.0001744807,0.0002074809,0.000140725],"domain_scores_gemma":[0.9969298,0.002193528,0.0001476765,0.0002008563,0.000354877,0.0001731922],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.0005500024,0.000308743,0.002891288,0.00021843,0.0001446041,0.0003642539,0.0002595892,0.5541168,0.004562754,0.0862707,0.007737214,0.3425756],"study_design_scores_gemma":[0.0001006188,0.0000345052,0.0001403831,0.00001497595,0.00001250696,0.00006093659,0.00002335511,0.9675896,0.0004027937,0.03090029,0.0007093613,0.0000107245],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.01276819,0.0001343451,0.9845221,0.0002370112,0.00004977038,0.00009785601,0.00009678811,0.0005845187,0.001509386],"genre_scores_gemma":[0.1682073,0.0001370668,0.8276376,0.0001230657,0.000085878,0.0003205393,0.0003725077,0.0002066178,0.002909391],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.01071262,"threshold_uncertainty_score":0.03583729,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.06076403081696313,"score_gpt":0.3320399106560772,"score_spread":0.2712758798391141,"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."}}