{"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":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.0004327265,0.00008387348,0.0002823741,0.0001604926,0.00008123164,0.00002084304,0.00006375034,0.00004393815,0.000003244631],"category_scores_gemma":[0.00001942588,0.00007312068,0.00003304839,0.0002273407,0.00005097832,0.00008396306,0.00002752585,0.00008812833,0.000004020216],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00001168036,"about_ca_system_score_gemma":0.00002416328,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.000003456301,"about_ca_topic_score_gemma":0.000001090744,"domain_scores_codex":[0.9992052,0.000001940419,0.000506114,0.0001086147,0.00009697554,0.00008117816],"domain_scores_gemma":[0.9988443,0.0001797403,0.0007617131,0.00005685817,0.0001169847,0.00004046175],"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":[0.00002742744,0.00006433234,0.00009556834,0.0001009079,0.00003741381,1.932172e-7,0.0008627622,0.04956149,0.00001157112,0.9483764,0.00004077513,0.0008212331],"study_design_scores_gemma":[0.0005365188,0.00004910524,0.005328681,0.00004150018,0.00002598834,0.00001549585,0.0003014704,0.118859,0.00001684206,0.8747336,0.00001631121,0.00007555359],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.335687,0.000326305,0.6633575,0.0001350342,0.00002183261,0.00009232524,0.00005589051,0.000006201704,0.0003178929],"genre_scores_gemma":[0.9454127,0.0001465068,0.05435123,0.00002742468,0.00003206481,0.000003978638,0.000007153398,0.000008888361,0.00001004271],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.6097257,"threshold_uncertainty_score":0.2981775,"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."}}