Metamodeling for variable annuities
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Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Numerical methods (including Monte Carlo methods) (91G60)
Recommendations
- Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach
- An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios
- Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets
- Efficient simulation designs for valuation of large variable annuity portfolios
- Regression modeling for the valuation of large variable annuity portfolios
Cited in
(4)- Modeling partial Greeks of variable annuities with dependence
- Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach
- Variable annuity pricing, valuation, and risk management: a survey
- Accelerating the computation of Shapley effects for datasets with many observations
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