Two-phase selection of representative contracts for valuation of large variable annuity portfolios
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Cites work
- A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
- A neural network approach to efficient valuation of large portfolios of variable annuities
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- AN EFFECTIVE BIAS-CORRECTED BAGGING METHOD FOR THE VALUATION OF LARGE VARIABLE ANNUITY PORTFOLIOS
- An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios
- 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
- Data clustering with actuarial applications
- Efficient dynamic hedging for large variable annuity portfolios with multiple underlying assets
- Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach
- Fast and efficient nested simulation for large variable annuity portfolios: a surrogate modeling approach
- Hedging and Reserving for Single-Premium Segregated Fund Contracts
- scientific article; zbMATH DE number 1215248 (Why is no real title available?)
- scientific article; zbMATH DE number 653035 (Why is no real title available?)
- scientific article; zbMATH DE number 715492 (Why is no real title available?)
- Investment guarantees: Modeling and risk management for equity-linked life insurance
- Mathematical methods of organizing and planning production. English translation by Robert W. Campbell and W. H. Marlow
- Moment matching machine learning methods for risk management of large variable annuity portfolios
- On the calculation of the solvency capital requirement based on nested simulations
- Pricing bounds and bang-bang analysis of the Polaris variable annuities
- Pricing equity-linked life insurance with endogenous minimum guarantees
- Real-time valuation of large variable annuity portfolios: a Green mesh approach
- Regression modeling for the valuation of large variable annuity portfolios
- Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees
- Reserving for maturity guarantees: Two approaches
- Valuation of large variable annuity portfolios under nested simulation: a functional data approach
- Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets
- Valuing guaranteed minimum accumulation benefits by a change of numéraire approach
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