A hybrid data mining framework for variable annuity portfolio valuation

DOI10.1017/ASB.2023.26MaRDI QIDQ6569739zbMATH OpenFDO

Authors Hyukjun Gweon, Shu Li

Publication date 9 July 2024

Published in ASTIN Bulletin (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

zbMATH Keywords

random forestportfolio valuationvariable annuitybootstrap aggregatinghybrid framework

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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Cites work

• scientific article; zbMATH DE number 6378123 (Why is no real title available?)
• scientific article; zbMATH DE number 409718 (Why is no real title available?)
• 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
• Bias-corrected random forests in regression
• Data clustering with actuarial applications
• Investment guarantees: Modeling and risk management for equity-linked life insurance
• Is it optimal to group policyholders by age, gender, and seniority for BEL computations based on model points?
• Moment matching machine learning methods for risk management of large variable annuity portfolios
• Quantifying uncertainty in random forests via confidence intervals and hypothesis tests
• Random Forests and Adaptive Nearest Neighbors
• Random forests
• Regression modeling for the valuation of large variable annuity portfolios
• Standard errors for bagged and random forest estimators
• Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets
• Variable annuity pricing, valuation, and risk management: a survey

Cited in

(2)

• Two-phase selection of representative contracts for valuation of large variable annuity portfolios
• Scenario selection with LASSO regression for the valuation of variable annuity portfolios

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