Two-phase selection of representative contracts for valuation of large variable annuity portfolios
From MaRDI portal
Publication:6152698
DOI10.1016/J.INSMATHECO.2023.08.009OpenAlexW4386700810MaRDI QIDQ6152698FDOQ6152698
Authors: Ruihong Jiang, David Saunders, Chengguo Weng
Publication date: 13 February 2024
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2023.08.009
Recommendations
- Efficient simulation designs for valuation of large variable annuity portfolios
- A hybrid data mining framework for variable annuity portfolio valuation
- Scenario selection with LASSO regression for the valuation of variable annuity portfolios
- An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios
- Real-time valuation of large variable annuity portfolios: a Green mesh approach
clusteringkrigingvariable annuity portfolioconditional \(k\)-meansmini-batch \(k\)-meanstwo-phase selection
Cites Work
- Mathematical methods of organizing and planning production. English translation by Robert W. Campbell and W. H. Marlow
- Reserving for maturity guarantees: Two approaches
- Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets
- 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 neural network approach to efficient valuation of large portfolios of variable annuities
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Regression modeling for the valuation of large variable annuity portfolios
- Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach
- Investment guarantees: Modeling and risk management for equity-linked life insurance
- An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios
- On the calculation of the solvency capital requirement based on nested simulations
- Hedging and Reserving for Single-Premium Segregated Fund Contracts
- Title not available (Why is that?)
- Title not available (Why is that?)
- A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
- Pricing equity-linked life insurance with endogenous minimum guarantees
- Moment matching machine learning methods for risk management of large variable annuity portfolios
- Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees
- Batch mode active learning framework and its application on valuing large variable annuity portfolios
- Fast and efficient nested simulation for large variable annuity portfolios: a surrogate modeling approach
- 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
- Real-time valuation of large variable annuity portfolios: a Green mesh approach
- Valuing guaranteed minimum accumulation benefits by a change of numéraire approach
- Data clustering with actuarial applications
- Title not available (Why is that?)
- Pricing bounds and bang-bang analysis of the Polaris variable annuities
Cited In (1)
This page was built for publication: Two-phase selection of representative contracts for 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 Q6152698)