Application of data clustering and machine learning in variable annuity valuation
From MaRDI portal
Publication:2015648
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
Monte Carlo simulation; machine learning; data clustering; variable annuity; portfolio valuation; portfolio pricing
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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