A hybrid data mining framework for variable annuity portfolio valuation
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The authors consider valuing large portfolios of variable annuity contracts and propose a hybrid framework that effectively chooses and assesses easy-to-predict contracts using the random forest model while leaving hard-to-predict contracts for the Monte Carlo simulation. The effectiveness of the hybrid approach is illustrated with an experimental study.
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Cites work
- AN EFFECTIVE BIAS-CORRECTED BAGGING METHOD FOR THE VALUATION OF LARGE VARIABLE ANNUITY PORTFOLIOS
- An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios
- Application of data clustering and machine learning in variable annuity valuation
- Batch mode active learning framework and its application on valuing large variable annuity portfolios
- Bias-corrected random forests in regression
- Data clustering with actuarial applications
- scientific article; zbMATH DE number 6378123 (Why is no real title available?)
- scientific article; zbMATH DE number 409718 (Why is no real title available?)
- Investment guarantees: Modeling and risk management for equity-linked life insurance
- Is it optimal to group policyholders by age, gender, and seniority for BEL computations based on model points?
- Moment matching machine learning methods for risk management of large variable annuity portfolios
- Quantifying uncertainty in random forests via confidence intervals and hypothesis tests
- Random forests
- Random Forests and Adaptive Nearest Neighbors
- Regression modeling for the valuation of large variable annuity portfolios
- Standard errors for bagged and random forest estimators
- Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets
- Variable annuity pricing, valuation, and risk management: a survey
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