A bias-corrected least-squares Monte Carlo for solving multi-period utility models
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Publication:2157230
DOI10.1007/s13385-021-00288-9zbMath1492.91418OpenAlexW3185967191MaRDI QIDQ2157230
Johan G. Andréasson, Pavel V. Shevchenko
Publication date: 27 July 2022
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13385-021-00288-9
dynamic programmingstochastic controlleast-squares Monte Carlocontrol randomisationlife-cycle expected utility modelling
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Dynamic programming (90C39) Optimal stochastic control (93E20) Actuarial mathematics (91G05)
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