A hybrid data mining framework for variable annuity portfolio valuation

DOI10.1017/ASB.2023.26zbMATH Open1545.91264MaRDI QIDQ6569739FDOQ6569739

Authors: Hyukjun Gweon, Shu Li 

Publication date: 9 July 2024

Published in: ASTIN Bulletin (Search for Journal in Brave)

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zbMATH Keywords

random forestportfolio valuationvariable annuitybootstrap aggregatinghybrid framework

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

• Random forests
• Random Forests and Adaptive Nearest Neighbors
• Quantifying uncertainty in random forests via confidence intervals and hypothesis tests
• Title not available (Why is that?)
• Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets
• Application of data clustering and machine learning in variable annuity valuation
• Regression modeling for the valuation of large variable annuity portfolios
• 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
• Variable annuity pricing, valuation, and risk management: a survey
• Title not available (Why is that?)
• Standard errors for bagged and random forest estimators
• Bias-corrected random forests in regression
• Moment matching machine learning methods for risk management of large variable annuity portfolios
• Batch mode active learning framework and its application on valuing large variable annuity portfolios
• AN EFFECTIVE BIAS-CORRECTED BAGGING METHOD FOR THE VALUATION OF LARGE VARIABLE ANNUITY PORTFOLIOS
• Is it optimal to group policyholders by age, gender, and seniority for BEL computations based on model points?
• Data clustering with actuarial applications

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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