Efficient valuation of SCR via a neural network approach
From MaRDI portal
Publication:344299
DOI10.1016/j.cam.2016.10.005zbMath1410.91268arXiv1610.01946MaRDI QIDQ344299
Seyed Amir Hejazi, Kenneth R. Jackson
Publication date: 22 November 2016
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1610.01946
neural network; spatial interpolation; variable annuity; portfolio valuation; solvency capital requirement (SCR)
68T05: Learning and adaptive systems in artificial intelligence
Uses Software