Valuation of large variable annuity portfolios under nested simulation: a functional data approach

DOI10.1016/j.insmatheco.2015.02.007zbMath1318.91112OpenAlexW3126010459MaRDI QIDQ2347065

Guojun Gan, X. Sheldon Lin

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

zbMATH Keywords

clusteringfunctional data analysisnested simulationvariable annuityminimum guaranteedollar deltastochastic-on-stochasticVA portfolio

Mathematics Subject Classification ID

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Uses Software

• fda (R)

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