Valuation of large variable annuity portfolios under nested simulation: a functional data approach
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Publication:2347065
DOI10.1016/j.insmatheco.2015.02.007zbMath1318.91112OpenAlexW3126010459MaRDI QIDQ2347065
Publication date: 26 May 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.02.007
clusteringfunctional data analysisnested simulationvariable annuityminimum guaranteedollar deltastochastic-on-stochasticVA portfolio
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Uses Software
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