Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate
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Publication:2044803
DOI10.1007/s10203-020-00287-7zbMath1470.91227arXiv1903.00369OpenAlexW3035577197MaRDI QIDQ2044803
Antonino Zanette, Andrea Molent, Ludovic Goudenège
Publication date: 10 August 2021
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1903.00369
Gaussian processes (60G15) Learning and adaptive systems in artificial intelligence (68T05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Actuarial mathematics (91G05)
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