{"id":"https://openalex.org/W2005106379","doi":"https://doi.org/10.1080/07362994.2012.704844","title":"Quantile Hedging for Guaranteed Minimum Death Benefits with Regime Switching","display_name":"Quantile Hedging for Guaranteed Minimum Death Benefits with Regime Switching","publication_year":2012,"publication_date":"2012-08-10","ids":{"openalex":"https://openalex.org/W2005106379","doi":"https://doi.org/10.1080/07362994.2012.704844","mag":"2005106379"},"language":"en","primary_location":{"id":"doi:10.1080/07362994.2012.704844","doi":"https://doi.org/10.1080/07362994.2012.704844","is_oa":false,"landing_page_url":"https://doi.org/10.1080/07362994.2012.704844","pdf_url":null,"source":{"id":"https://openalex.org/S31195892","display_name":"Stochastic Analysis and Applications","issn_l":"0736-2994","issn":["0736-2994","1532-9356"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","dongbi-b","jufo-1","norway-1","poland-70","russia-white-list-2"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Stochastic Analysis and Applications","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100624908","display_name":"Yu-Min Wang","orcid":"https://orcid.org/0000-0002-4739-0419","observed_orcids":["https://orcid.org/0000-0002-4739-0419"]},"institutions":[{"id":"https://openalex.org/I208333798","display_name":"University of Missouri\u2013St. Louis","ror":"https://ror.org/037cnag11","country_code":"US","type":"education","lineage":["https://openalex.org/I208333798"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Yumin Wang","raw_affiliation_strings":["Department of Mathematics and Computer Science, University of Missouri-St. Louis, Saint Louis, Missouri, USA","Department of Mathematics and Computer Science , University of Missouri-St. Louis , Saint Louis , Missouri , USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics and Computer Science, University of Missouri-St. Louis, Saint Louis, Missouri, USA","institution_ids":["https://openalex.org/I208333798"]},{"raw_affiliation_string":"Department of Mathematics and Computer Science , University of Missouri-St. Louis , Saint Louis , Missouri , USA","institution_ids":["https://openalex.org/I208333798"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5008853967","display_name":"George Yin","orcid":"https://orcid.org/0000-0002-2951-0704","observed_orcids":["https://orcid.org/0000-0002-2951-0704"]},"institutions":[{"id":"https://openalex.org/I185443292","display_name":"Wayne State University","ror":"https://ror.org/01070mq45","country_code":"US","type":"education","lineage":["https://openalex.org/I185443292"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"G. Yin","raw_affiliation_strings":["Department of Mathematics, Wayne State University, Detroit, Michigan, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, Wayne State University, Detroit, Michigan, USA","institution_ids":["https://openalex.org/I185443292"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5100624908"],"corresponding_institution_ids":["https://openalex.org/I208333798"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":4,"citation_normalized_percentile":{"value":0.22824351,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":94},"biblio":{"volume":"30","issue":"5","first_page":"799","last_page":"826"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9926999807357788,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9926999807357788,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.00419999985024333,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.00139999995008111,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/quantile-hedging","display_name":"quantile hedging","score":1.0},{"id":"https://openalex.org/keywords/guaranteed-minimum-death-benefit","display_name":"guaranteed minimum death benefit","score":0.968999981880188},{"id":"https://openalex.org/keywords/regime-switching-models","display_name":"regime switching","score":0.9390000104904175},{"id":"https://openalex.org/keywords/incomplete-markets","display_name":"incomplete markets","score":0.8460000157356262},{"id":"https://openalex.org/keywords/variable-annuities","display_name":"variable annuities","score":0.8410000205039978},{"id":"https://openalex.org/keywords/portfolio-insurance","display_name":"portfolio insurance","score":0.7670000195503235},{"id":"https://openalex.org/keywords/shortfall-risk","display_name":"shortfall risk","score":0.734000027179718},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"value at risk","score":0.9539999961853027},{"id":"https://openalex.org/keywords/mortality-risk","display_name":"mortality risk","score":0.7300000190734863},{"id":"https://openalex.org/keywords/hedging-performance","display_name":"hedging performance","score":0.5950000286102295}],"concepts":[{"id":"https://openalex.org/C118671147","wikidata":"https://www.wikidata.org/wiki/Q578714","display_name":"Quantile","level":2,"score":0.8686560392379761},{"id":"https://openalex.org/C70771513","wikidata":"https://www.wikidata.org/wiki/Q235779","display_name":"Hedge","level":2,"score":0.6758725643157959},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.637069821357727},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5908946990966797},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.5678163170814514},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4778842031955719},{"id":"https://openalex.org/C169029255","wikidata":"https://www.wikidata.org/wiki/Q4867577","display_name":"Basis risk","level":3,"score":0.4737176299095154},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.4727260172367096},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.43982699513435364},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.39486411213874817},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.3921360969543457},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.1724073886871338},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1164177656173706},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.08417746424674988},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1080/07362994.2012.704844","doi":"https://doi.org/10.1080/07362994.2012.704844","is_oa":false,"landing_page_url":"https://doi.org/10.1080/07362994.2012.704844","pdf_url":null,"source":{"id":"https://openalex.org/S31195892","display_name":"Stochastic Analysis and Applications","issn_l":"0736-2994","issn":["0736-2994","1532-9356"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","dongbi-b","jufo-1","norway-1","poland-70","russia-white-list-2"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Stochastic Analysis and Applications","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"display_name":"Good health and well-being","id":"https://metadata.un.org/sdg/3","score":0.6100000143051147}],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":35,"referenced_works":["https://openalex.org/W21271374","https://openalex.org/W1499021337","https://openalex.org/W1528642247","https://openalex.org/W1546689893","https://openalex.org/W1965746347","https://openalex.org/W1966132745","https://openalex.org/W1973946491","https://openalex.org/W1975083310","https://openalex.org/W1984328418","https://openalex.org/W1988916339","https://openalex.org/W1996194659","https://openalex.org/W2010307279","https://openalex.org/W2016008858","https://openalex.org/W2022610613","https://openalex.org/W2025804570","https://openalex.org/W2039298440","https://openalex.org/W2040622867","https://openalex.org/W2040843824","https://openalex.org/W2047188539","https://openalex.org/W2050086017","https://openalex.org/W2067491790","https://openalex.org/W2074812030","https://openalex.org/W2084228674","https://openalex.org/W2113398415","https://openalex.org/W2114102890","https://openalex.org/W2118490444","https://openalex.org/W2130906284","https://openalex.org/W2159479369","https://openalex.org/W2161007682","https://openalex.org/W2293176873","https://openalex.org/W2484199605","https://openalex.org/W2488096466","https://openalex.org/W4238035223","https://openalex.org/W4285719527","https://openalex.org/W4297961389"],"related_works":["https://openalex.org/W2346600303","https://openalex.org/W3126123222","https://openalex.org/W3111963867","https://openalex.org/W2744350573","https://openalex.org/W799577184","https://openalex.org/W3125560610","https://openalex.org/W2063070827","https://openalex.org/W2277923374","https://openalex.org/W4301377905","https://openalex.org/W3122839946"],"abstract_inverted_index":{"The":[0,144],"efficient":[1],"hedging":[2,17,35,62,81,99],"minimizes":[3],"the":[4,7,16,21,28,38,41,46,95,108,152,159],"average":[5],"of":[6,23,31,40,97,107,141],"shortfall":[8],"risk":[9,32,112],"weighted":[10],"by":[11],"a":[12,24,51,104,139,164],"loss":[13],"function,":[14],"where":[15],"efficiency":[18],"refers":[19,36],"to":[20,26,37,151,175],"effectiveness":[22],"hedge":[25,42],"accomplish":[27],"desired":[29],"goal":[30],"management.":[33],"Quantile":[34,80],"percentage":[39],"that":[43],"can":[44,100],"cover":[45],"contingent":[47,55],"claim,":[48],"which":[49,129],"plays":[50],"key":[52],"role":[53],"for":[54],"claims":[56],"in":[57,68,132],"incomplete":[58],"markets":[59],"when":[60],"perfect":[61],"is":[63],"not":[64],"possible.":[65],"As":[66],"observed":[67],"[8":[69],"F\u00f6llmer":[70],",":[71,73,76,92],"H.":[72],"and":[74,84,136,155,162],"Leukert":[75],"P.":[77],"1999":[78],".":[79,82],"Finance":[83],"Stochastics":[85],"3":[86],":":[87],"251":[88],"\u2013":[89],"273":[90],".[Crossref]":[91],"[Google":[93],"Scholar]],":[94],"concept":[96,113],"quantile":[98,166],"be":[101,147],"considered":[102],"as":[103,138,163],"dynamic":[105],"version":[106],"familiar":[109],"value":[110],"at":[111],"(VaR).":[114],"Treating":[115],"regime":[116,160],"switching":[117],"diffusion":[118],"models,":[119],"this":[120],"article":[121],"focuses":[122],"on":[123],"guaranteed":[124],"minimum":[125],"death":[126],"benefits":[127],"(GMDBs),":[128],"are":[130,168,172],"present":[131],"many":[133],"variableannuity":[134],"contracts,":[135],"act":[137],"form":[140],"portfolio":[142],"insurance.":[143],"GMDBs":[145],"cannot":[146],"perfectly":[148],"hedged":[149],"due":[150],"mortality":[153],"component":[154],"incompleteness":[156],"resulting":[157],"from":[158],"switching,":[161],"result,":[165],"hedges":[167],"developed.":[169],"Numerical":[170],"examples":[171],"also":[173],"presented":[174],"illustrate":[176],"our":[177],"results.":[178]},"counts_by_year":[{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2017,"cited_by_count":1}],"updated_date":"2026-10-12T09:40:04.860316","created_date":"2025-10-10T00:00:00"}