Moment matching machine learning methods for risk management of large variable annuity portfolios

DOI10.1016/j.jedc.2017.11.002zbMath1401.91525OpenAlexW2768301016MaRDI QIDQ1657175

Thomas F. Coleman, Wei Xu, Yuehuan Chen, Conrad Coleman

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2017.11.002

zbMATH Keywords

machine learningvariable annuityVaRdollar deltaJohnson curve

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (8)

Refundable income annuities: feasibility of money-back guarantees ⋮ Separating the signal from the noise -- financial machine learning for Twitter ⋮ 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 ⋮ Efficient Simulation Designs for Valuation of Large Variable Annuity Portfolios ⋮ Real-Time Valuation of Large Variable Annuity Portfolios: A Green Mesh Approach ⋮ Variable annuity pricing, valuation, and risk management: a survey

Uses Software

• AS 99
• ADMAT

Cites Work

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