Regression modeling for the valuation of large variable annuity portfolios
From MaRDI portal
Publication:4567959
DOI10.1080/10920277.2017.1366863zbMATH Open1393.91099OpenAlexW3125948402MaRDI QIDQ4567959FDOQ4567959
Authors: Guojun Gan, Emiliano A. Valdez 
Publication date: 20 June 2018
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2017.1366863
Recommendations
- Valuation of large variable annuity portfolios under nested simulation: a functional data approach
- Valuation of large variable annuity portfolios with rank order kriging
- Application of data clustering and machine learning in variable annuity valuation
- An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios
- A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Statistics of Extremes
- Reserving for maturity guarantees: Two approaches
- Application of data clustering and machine learning in variable annuity valuation
- Valuation of large variable annuity portfolios under nested simulation: a functional data approach
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Statistical Size Distributions in Economics and Actuarial Sciences
- Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach
- Guaranteed minimum withdrawal benefit in variable annuities
- Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization
- Tutorial on maximum likelihood estimation
- Hierarchical insurance claims modeling
- Regression modeling with actuarial and financial applications.
- Valuing inflation-linked death benefits under a stochastic volatility framework
- Heavy-tailed longitudinal data modeling using copulas
- Maximum likelihood estimation and inference. With examples in R, SAS and ADMB
- Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
- Valuing the guaranteed minimum death benefit clause with partial withdrawals
Cited In (24)
- AN EFFECTIVE BIAS-CORRECTED BAGGING METHOD FOR THE VALUATION OF LARGE VARIABLE ANNUITY PORTFOLIOS
- A hybrid data mining framework for variable annuity portfolio valuation
- Two-phase selection of representative contracts for valuation of large variable annuity portfolios
- Application of data clustering and machine learning in variable annuity valuation
- Variable annuity pricing, valuation, and risk management: a survey
- Valuation of large variable annuity portfolios under nested simulation: a functional data approach
- Metamodeling for variable annuities
- A neural network approach to efficient valuation of large portfolios of variable annuities
- A large-scale optimization model for replicating portfolios in the life insurance industry
- Efficient dynamic hedging for large variable annuity portfolios with multiple underlying assets
- Fat-Tailed Regression Modeling with Spliced Distributions
- Batch mode active learning framework and its application on valuing large variable annuity portfolios
- Data clustering with actuarial applications
- Fast and efficient nested simulation for large variable annuity portfolios: a surrogate modeling approach
- Tweedie multivariate semi-parametric credibility with the exchangeable correlation
- Valuation of large variable annuity portfolios with rank order kriging
- Efficient simulation designs for valuation of large variable annuity portfolios
- Modeling partial Greeks of variable annuities with dependence
- Optimal fee structure of variable annuities
- Analytical validation formulas for best estimate calculation in traditional life insurance
- Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets
- Scenario selection with LASSO regression for the valuation of variable annuity portfolios
- Copula Regression for Compound Distributions with Endogenous Covariates with Applications in Insurance Deductible Pricing
- An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios
Uses Software
This page was built for publication: Regression modeling for the valuation of large variable annuity portfolios
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4567959)
