Optimizing portfolios with surrender variable annuities: a deep reinforcement learning approach
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Cites work
- A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- An introduction to deep reinforcement learning
- Choquet Regularization for Continuous-Time Reinforcement Learning
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- Multidimensional Lee-Carter model with switching mortality processes
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- On surrender and default risks
- Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection
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- Optimizing the equity-bond-annuity portfolio in retirement: the impact of uncertain health expenses
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- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- The QLBS Q-Learner goes NuQLear: fitted Q iteration, inverse RL, and option portfolios
- Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
- Valuing equity-linked death benefits and other contingent options: a discounted density approach
- Valuing equity-linked death benefits in jump diffusion models
- Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
- Variable annuities in a Lévy-based hybrid model with surrender risk
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