Application of data clustering and machine learning in variable annuity valuation
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Publication:2015648
DOI10.1016/J.INSMATHECO.2013.09.021zbMATH Open1290.91086OpenAlexW3125549559MaRDI QIDQ2015648FDOQ2015648
Authors: Guojun Gan 
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.09.021
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machine learningMonte Carlo simulationportfolio valuationvariable annuitydata clusteringportfolio pricing
Classification and discrimination; cluster analysis (statistical aspects) (62H30) Learning and adaptive systems in artificial intelligence (68T05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (35)
- Fast spectral clustering with self-weighted features
- Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach
- AN EFFECTIVE BIAS-CORRECTED BAGGING METHOD FOR THE VALUATION OF LARGE VARIABLE ANNUITY PORTFOLIOS
- Real-Time Valuation of Large Variable Annuity Portfolios: A Green Mesh Approach
- Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
- A hybrid data mining framework for variable annuity portfolio valuation
- A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans
- Addressing the economic and demographic complexity via a neural network approach: risk measures for reverse mortgages
- Two-phase selection of representative contracts for valuation of large variable annuity portfolios
- Variable annuity pricing, valuation, and risk management: a survey
- Valuing guaranteed minimum accumulation benefits by a change of numéraire approach
- Valuation of large variable annuity portfolios under nested simulation: a functional data approach
- Valuation of Large Variable Annuity Portfolios with Rank Order Kriging
- Efficient Nested Simulation for Conditional Tail Expectation of Variable Annuities
- Efficient Simulation Designs for Valuation of Large Variable Annuity Portfolios
- A neural network approach to efficient valuation of large portfolios of variable annuities
- Kriging of financial term-structures
- Batch mode active learning framework and its application on valuing large variable annuity portfolios
- Deep hedging of long-term financial derivatives
- Moment matching machine learning methods for risk management of large variable annuity portfolios
- Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate
- Reverse mortgages through artificial intelligence: new opportunities for the actuaries
- Fast and efficient nested simulation for large variable annuity portfolios: a surrogate modeling approach
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- Efficient valuation of SCR via a neural network approach
- Subspace clustering with automatic feature grouping
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- Regression Modeling for the Valuation of Large Variable Annuity Portfolios
- Modeling partial Greeks of variable annuities with dependence
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- Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach
- Scenario selection with LASSO regression for the valuation of variable annuity portfolios
- An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios
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