A hybrid data mining framework for variable annuity portfolio valuation (Q6569739)
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scientific article; zbMATH DE number 7878774
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| English | A hybrid data mining framework for variable annuity portfolio valuation |
scientific article; zbMATH DE number 7878774 |
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A hybrid data mining framework for variable annuity portfolio valuation (English)
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9 July 2024
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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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variable annuity
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portfolio valuation
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bootstrap aggregating
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random forest
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hybrid framework
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0.8380517959594727
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0.8246527910232544
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0.7860249876976013
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0.7818130254745483
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0.7813989520072937
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