Efficient valuation of SCR via a neural network approach

DOI10.1016/j.cam.2016.10.005zbMath1410.91268arXiv1610.01946OpenAlexW2527761280MaRDI QIDQ344299

Kenneth R. Jackson, Seyed Amir Hejazi

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

zbMATH Keywords

neural networkspatial interpolationvariable annuityportfolio valuationsolvency capital requirement (SCR)

Mathematics Subject Classification ID

Related Items (5)

Sample recycling method -- a new approach to efficient nested Monte Carlo simulations ⋮ Neural networks meet least squares Monte Carlo at internal model data ⋮ Spatiotemporal interpolation through an extension of differential evolution algorithm for agricultural insurance claims ⋮ Grouping of contracts in insurance using neural networks ⋮ Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach

Uses Software

• PMTK
• PRMLT

Cites Work

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• Valuation of large variable annuity portfolios under nested simulation: a functional data approach
• A neural network approach to efficient valuation of large portfolios of variable annuities
• On the Calculation of the Solvency Capital Requirement Based on Nested Simulations
• FUNDAMENTAL DEFINITION OF THE SOLVENCY CAPITAL REQUIREMENT IN SOLVENCY II
• An Approach to Fair Valuation of Insurance Liabilities Using the Firm’s Cost of Capital

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