Two-phase selection of representative contracts for valuation of large variable annuity portfolios

DOI10.1016/j.insmatheco.2023.08.009OpenAlexW4386700810MaRDI QIDQ6152698

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

zbMATH Keywords

krigingclusteringvariable annuity portfolioconditional \(k\)-meansmini-batch \(k\)-meanstwo-phase selection

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Contract theory (moral hazard, adverse selection) (91B41)

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