Application of data clustering and machine learning in variable annuity valuation

DOI10.1016/j.insmatheco.2013.09.021zbMath1290.91086OpenAlexW3125549559MaRDI QIDQ2015648

Guojun Gan

Publication date: 23 June 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.09.021

zbMATH Keywords

Monte Carlo simulationmachine learningdata clusteringvariable annuityportfolio valuationportfolio pricing

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Learning and adaptive systems in artificial intelligence (68T05) Derivative securities (option pricing, hedging, etc.) (91G20)

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