Pricing equity-linked life insurance contracts with multiple risk factors by neural networks

DOI10.1016/J.CAM.2021.113922zbMath1479.91304arXiv2007.08804OpenAlexW3211665489MaRDI QIDQ2059681

Łukasz Delong, Karim Barigou

Publication date: 14 December 2021

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.08804

zbMATH Keywords

neural networksstochastic mortalityBSDEs with jumpsequity-linked contractsHeston stochastic volatilityHull-White stochastic interest rates

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Actuarial mathematics (91G05)

Related Items (3)

INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH ⋮ Limit equations of adaptive Erlangization and their application to environmental management ⋮ Stochastic comparisons of largest claim amount from heterogeneous and dependent insurance portfolios

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