Pricing equity-linked life insurance contracts with multiple risk factors by neural networks
DOI10.1016/J.CAM.2021.113922zbMath1479.91304arXiv2007.08804OpenAlexW3211665489MaRDI QIDQ2059681
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
neural networksstochastic mortalityBSDEs with jumpsequity-linked contractsHeston stochastic volatilityHull-White stochastic interest rates
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)
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