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ivanzoccolan

Ivan Zoccolan

Recently Published

Fitting HMD table 2000-2009
Fitting IPS55M
Fitting HDM table
Fitting to A62M
Fitting CIR to RG48M
Fitting CIR to A62F
CIR calibration
Exit times with constant fee
Exit times
Mortality modeling II
Mortality modeling
Compares PDE and MC mixed using different regression methods.
PDE and Monte Carlo methos
model1_22nd_3
Fig 4.9
valuer 1.1.1
Fig 4.8
Fig 4.3 CST vs SD
with valuer 1.1.1
Fig 4.4 all models
with valuer 1.1.1
Fig 10
Model 1, 21st, 3
Fig4_7
with valuer 1.1.1
Fig4_6
with valuer 1.1.1
Fig4_5_comp
with valuer 1.1.1
Fig 4.5 no adjust
with valuer 1.1.1
Fig4.5 All models
Fig4.3 new
with valuer 1.1.1
Model 2 and Model 3 with rho_SK 0.7
Model 2 and Model 3 with sigma_K 0.3
Static approach with CST fees - four models
Fig 4.3 CST vs SD
Fig 4.5 single graph with four models
Fig 4.5 without adjustment
Fig4.5 comparison
Mixed with different penalties
Mixed with different penalties
Fig 4.6 - four models
Fig4.5 four models
Fig 4_4 four models
static method with SD fees - four models
weibull_fitting
static and mixed with SD fees
Increasing the barrier with negative loadings
static and mixed method with SD fees
The regression is done only when the GMAB guarantee is in the money for all three models
Mixed and static with SD fee and increasing barrier
With the model with jumps the regression is done only when the GMAB guarantee is in the money.
SD fair fee increasing the barrier - static approach
static approach and SD fees
Static and mixed method with SD fees
Static and mixed with SD fees - Increasing the barrier
Residual histograms
Residui caso costante
Residual plot
Residual plot of the regression of the continuation values in LSMC
Test in-the-money
Adjusted mixed under constant fee
Adjusted mixed with degree 7
Adjusted mixed with the polynomial bases degree set to 7
Tests with mixed approach