{"id":"W4388366473","doi":"10.1016/j.cam.2023.115646","title":"Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk","year":2023,"lang":"en","type":"article","venue":"Journal of Computational and Applied Mathematics","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":1,"is_retracted":false,"has_abstract":false,"ca_institutions":"University of Waterloo","funders":"National Natural Science Foundation of China","keywords":"Mean reversion; Surrender; Mathematics; Valuation (finance); Econometrics; Jump process; Stochastic volatility; Asset (computer security); Jump; Actuarial science; Economics; Volatility (finance); Finance; Computer science","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":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.005728033,0.001104753,0.002178502,0.001010107,0.0004177576,0.004444768,0.00204917,0.003598484,0.00307753],"category_scores_gemma":[0.0192791,0.0008096332,0.001003306,0.0007386446,0.002256218,0.00694921,0.001640901,0.003060415,0.0001914443],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001834052,"about_ca_system_score_gemma":0.001316008,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001278524,"about_ca_topic_score_gemma":0.0006628234,"domain_scores_codex":[0.9985563,0.0007309276,0.00006841117,0.0001869194,0.0002607212,0.0001967398],"domain_scores_gemma":[0.9887998,0.00778514,0.001186074,0.0005758617,0.000475056,0.001178084],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.000928379,0.0001951145,0.003795875,0.0001871968,0.0001781937,0.0008694921,0.0002756489,0.4398483,0.00406694,0.5304387,0.001358827,0.01785721],"study_design_scores_gemma":[0.0000656535,0.0001719247,0.001043895,0.00002698451,0.00003463301,0.0001323245,0.00004911877,0.8538581,0.0003179118,0.1438617,0.0004092994,0.00002844108],"study_design_candidate":"simulation_or_modeling","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.6598631,0.001930883,0.3260452,0.002433336,0.0001605867,0.00008754662,0.0002666202,0.0002462868,0.00896639],"genre_scores_gemma":[0.9931018,0.0002377876,0.004798288,0.00002474162,0.00005544247,0.0000127018,0.00005598842,0.00001917916,0.001694135],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.005728033,"threshold_uncertainty_score":0.03029311,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.05341534195960167,"score_gpt":0.232203891344212,"score_spread":0.1787885493846103,"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."}}