Metamodeling for variable annuities

DOI10.1201/9781351166607MaRDI QIDQ5225323zbMATH OpenOpenAlexFDO

Authors Guojun Gan, Emiliano A. Valdez

Publication date 19 July 2019

Full work available at URL https://doi.org/10.1201/9781351166607

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

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Cited in

(3)

• Variable annuity pricing, valuation, and risk management: a survey
• Modeling partial Greeks of variable annuities with dependence
• Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach

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