AN EFFECTIVE BIAS-CORRECTED BAGGING METHOD FOR THE VALUATION OF LARGE VARIABLE ANNUITY PORTFOLIOS
From MaRDI portal
Publication:5140083
DOI10.1017/asb.2020.28zbMath1454.91189OpenAlexW3084378721MaRDI QIDQ5140083
Hyukjun Gweon, Shu Li, Rogemar S. Mamon
Publication date: 13 December 2020
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/asb.2020.28
Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)
Related Items (3)
Two-phase selection of representative contracts for valuation of large variable annuity portfolios ⋮ Batch mode active learning framework and its application on valuing large variable annuity portfolios ⋮ Variable annuity pricing, valuation, and risk management: a survey
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Greedy function approximation: A gradient boosting machine.
- Bagging predictors
- Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets
- An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios
- A decision-theoretic generalization of on-line learning and an application to boosting
- Application of data clustering and machine learning in variable annuity valuation
- Risk measurement of a guaranteed annuity option under a stochastic modelling framework
- Is it optimal to group policyholders by age, gender, and seniority for BEL computations based on model points?
- Regression Modeling for the Valuation of Large Variable Annuity Portfolios
- Bias-corrected random forests in regression
- Random Forests and Adaptive Nearest Neighbors
- The elements of statistical learning. Data mining, inference, and prediction
- Stochastic gradient boosting.
- Using iterated bagging to debias regressions
This page was built for publication: AN EFFECTIVE BIAS-CORRECTED BAGGING METHOD FOR THE VALUATION OF LARGE VARIABLE ANNUITY PORTFOLIOS