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Efficient pricing and Greeks estimation for variable annuities under a multivariate OUSV model

Shaoying Chen et al.

Insurance: Mathematics & Economics2026https://doi.org/10.1016/j.insmatheco.2026.103220article
AJG 3ABDC A*
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https://doi.org/https://doi.org/10.1016/j.insmatheco.2026.103220

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@article{shaoying2026,
  title        = {{Efficient pricing and Greeks estimation for variable annuities under a multivariate OUSV model}},
  author       = {Shaoying Chen et al.},
  journal      = {Insurance: Mathematics & Economics},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1016/j.insmatheco.2026.103220},
}

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Efficient pricing and Greeks estimation for variable annuities under a multivariate OUSV model

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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