{"id":"W3006809263","doi":"10.1080/10920277.2019.1703753","title":"The Valuation of a Guaranteed Minimum Maturity Benefit under a Regime-Switching Framework","year":2020,"lang":"en","type":"article","venue":"North American Actuarial Journal","topic":"Insurance, Mortality, Demography, Risk Management","field":"Social Sciences","cited_by":15,"is_retracted":false,"has_abstract":true,"ca_institutions":"Western University","funders":"Natural Sciences and Engineering Research Council of Canada","keywords":"Geometric Brownian motion; Equity (law); Affine transformation; Economics; Valuation (finance); Econometrics; Interest rate; Stock (firearms); Actuarial science; Stock market index; Markov chain; Portfolio; Financial economics; Stock market; Mathematics; Finance; Statistics","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":"codex-gemma-dda1882f352a","candidate_categories":["sts"],"consensus_categories":[],"category_scores_codex":[0.001569555,0.0001935068,0.0003714482,0.00009972446,0.001414845,0.0003357571,0.0007710309,0.00007063826,0.00005754406],"category_scores_gemma":[0.0008077821,0.0001503073,0.0002965476,0.001141821,0.0006622137,0.0002392078,0.00008307839,0.0007718432,0.00001514436],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0001018779,"about_ca_system_score_gemma":0.0002921695,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.002204624,"about_ca_topic_score_gemma":0.004115086,"domain_scores_codex":[0.9966682,0.0005233671,0.0006323546,0.0002692106,0.00137215,0.0005347428],"domain_scores_gemma":[0.9976825,0.000458396,0.001057566,0.0002649192,0.0002684795,0.0002681186],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"observational","study_design_gemma":"observational","study_design_scores_codex":[0.002109029,0.0003496934,0.4609781,0.00004601851,0.001208164,0.00005509659,0.08452596,0.00228153,0.000179563,0.09709663,0.003865379,0.3473049],"study_design_scores_gemma":[0.001447173,0.0006630167,0.8700746,0.0001008823,0.0004051961,0.00001198766,0.03387047,0.001186703,0.00003014169,0.04906134,0.04241525,0.0007332377],"study_design_candidate":"observational","study_design_consensus":"observational","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9643131,0.0001425574,0.0176142,0.01379104,0.001188299,0.0004425372,0.000009844726,0.000064898,0.002433446],"genre_scores_gemma":[0.9937322,0.0005020591,0.00182081,0.001902266,0.00199554,0.000007302256,0.000001812275,0.00002019346,0.00001788133],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.4090965,"threshold_uncertainty_score":0.9998852,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.03442015480509231,"score_gpt":0.3057460260811649,"score_spread":0.2713258712760726,"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."}}