Application of data clustering and machine learning in variable annuity valuation
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Cites work
- scientific article; zbMATH DE number 1179314 (Why is no real title available?)
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- A binomial model for valuing equity-linked policies embedding surrender options
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- Authors’ Reply: Pricing Annuity Guarantees Under a Regime-Switching Model - Discussion by Robert J. Elliott and Tak Kuen Siu
- Data Clustering: Theory, Algorithms, and Applications
- Endogenous model of surrender conditions in equity-linked life insurance
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- The reset decision for segregated fund maturity guarantees
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- Valuing variable annuity guarantees with the multivariate Esscher transform
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
- 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
- Regression modeling for the valuation of large variable annuity portfolios
- Valuing guaranteed minimum accumulation benefits by a change of numéraire approach
- Variable annuity pricing, valuation, and risk management: a survey
- Valuation of large variable annuity portfolios under nested simulation: a functional data approach
- Kriging of financial term-structures
- A neural network approach to efficient valuation of large portfolios of variable annuities
- 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
- Sample recycling method -- a new approach to efficient nested Monte Carlo simulations
- Efficient valuation of SCR via a neural network approach
- Subspace clustering with automatic feature grouping
- A nonparametric sequential learning procedure for estimating the pure premium
- Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
- Real-time valuation of large variable annuity portfolios: a Green mesh approach
- Modeling partial Greeks of variable annuities with dependence
- 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
- Optimal fee structure of variable annuities
- Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets
- 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
- Scenario selection with LASSO regression for the valuation of variable annuity portfolios
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