Regression modeling for the valuation of large variable annuity portfolios
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Cites work
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Application of data clustering and machine learning in variable annuity valuation
- Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach
- Guaranteed minimum withdrawal benefit in variable annuities
- Heavy-tailed longitudinal data modeling using copulas
- Hierarchical insurance claims modeling
- Maximum likelihood estimation and inference. With examples in R, SAS and ADMB
- Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
- Regression modeling with actuarial and financial applications.
- Reserving for maturity guarantees: Two approaches
- Statistical Size Distributions in Economics and Actuarial Sciences
- Statistics of Extremes
- Tutorial on maximum likelihood estimation
- Valuation of large variable annuity portfolios under nested simulation: a functional data approach
- Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization
- Valuing inflation-linked death benefits under a stochastic volatility framework
- Valuing the guaranteed minimum death benefit clause with partial withdrawals
Cited in
(28)- Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets
- Application of data clustering and machine learning in variable annuity valuation
- Batch mode active learning framework and its application on valuing large variable annuity portfolios
- Analytical validation formulas for best estimate calculation in traditional life insurance
- Fast and efficient nested simulation for large variable annuity portfolios: a surrogate modeling approach
- Valuation of large variable annuity portfolios under nested simulation: a functional data approach
- Modeling partial Greeks of variable annuities with dependence
- A neural network approach to efficient valuation of large portfolios of variable annuities
- Optimal fee structure of variable annuities
- Fat-tailed regression modeling with spliced distributions
- A large-scale optimization model for replicating portfolios in the life insurance industry
- Valuation of large variable annuity portfolios with rank order kriging
- Data clustering with actuarial applications
- Efficient simulation designs for valuation of large variable annuity portfolios
- AN EFFECTIVE BIAS-CORRECTED BAGGING METHOD FOR THE VALUATION OF LARGE VARIABLE ANNUITY PORTFOLIOS
- Efficient dynamic hedging for large variable annuity portfolios with multiple underlying assets
- Metamodeling for variable annuities
- Variable annuity pricing, valuation, and risk management: a survey
- Copula Regression for Compound Distributions with Endogenous Covariates with Applications in Insurance Deductible Pricing
- Two-phase selection of representative contracts for valuation of large variable annuity portfolios
- Tweedie multivariate semi-parametric credibility with the exchangeable correlation
- Scenario selection with LASSO regression for the valuation of variable annuity portfolios
- Risk management with local least squares Monte Carlo
- A hybrid data mining framework for variable annuity portfolio valuation
- PowerBurr regression model for heavy-tailed loss data and its application
- Accelerating the computation of Shapley effects for datasets with many observations
- Valuation of variable annuity portfolios using finite and infinite width neural networks
- An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios
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