Efficient dynamic hedging for large variable annuity portfolios with multiple underlying assets (Q5140085)
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scientific article; zbMATH DE number 7285047
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| English | Efficient dynamic hedging for large variable annuity portfolios with multiple underlying assets |
scientific article; zbMATH DE number 7285047 |
Statements
EFFICIENT DYNAMIC HEDGING FOR LARGE VARIABLE ANNUITY PORTFOLIOS WITH MULTIPLE UNDERLYING ASSETS (English)
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13 December 2020
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variable annuity portfolio
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nested simulation
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balanced sampling
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spline regression
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dynamic hedging
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0.8600448966026306
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0.8232454657554626
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0.8026266694068909
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0.8010926246643066
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