EFFICIENT DYNAMIC HEDGING FOR LARGE VARIABLE ANNUITY PORTFOLIOS WITH MULTIPLE UNDERLYING ASSETS
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Publication:5140085
DOI10.1017/asb.2020.26zbMath1454.91202OpenAlexW3048804622MaRDI QIDQ5140085
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.2020.26
Related Items (3)
Sample recycling method -- a new approach to efficient nested Monte Carlo simulations ⋮ Two-phase selection of representative contracts for valuation of large variable annuity portfolios ⋮ Fast and efficient nested simulation for large variable annuity portfolios: a surrogate modeling approach
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Cites Work
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