Moment matching machine learning methods for risk management of large variable annuity portfolios
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Publication:1657175
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
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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Uses Software
Cites Work
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