Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets

DOI10.1515/DEMO-2017-0021zbMath1390.91320OpenAlexW2610229700MaRDI QIDQ140173

Guojun Gan, Emiliano A. Valdez, Guojun Gan, Emiliano A. Valdez

Publication date: 20 December 2017

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2017-0021

zbMATH Keywords

Monte Carlometamodelingvariable annuityportfolio valuationmultivariate Black-Scholes

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Portfolio theory (91G10)

Related Items (9)

Valuation of Large Variable Annuity Portfolios with Rank Order Kriging ⋮ Two-phase selection of representative contracts for valuation of large variable annuity portfolios ⋮ Data Clustering with Actuarial Applications ⋮ 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 ⋮ A MIXED BOND AND EQUITY FUND MODEL FOR THE VALUATION OF VARIABLE ANNUITIES ⋮ Batch mode active learning framework and its application on valuing large variable annuity portfolios ⋮ vamc ⋮ Variable annuity pricing, valuation, and risk management: a survey

Uses Software

• VBA

Cites Work

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