Application of data clustering and machine learning in variable annuity valuation

DOI10.1016/j.insmatheco.2013.09.021zbMath1290.91086MaRDI QIDQ2015648

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

zbMATH Keywords

Monte Carlo simulation; machine learning; data clustering; variable annuity; portfolio valuation; portfolio pricing

Mathematics Subject Classification ID

62H30: Classification and discrimination; cluster analysis (statistical aspects)

62P05: Applications of statistics to actuarial sciences and financial mathematics

68T05: Learning and adaptive systems in artificial intelligence

91G20: Derivative securities (option pricing, hedging, etc.)

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Cites Work