Fast and efficient nested simulation for large variable annuity portfolios: a surrogate modeling approach

DOI10.1016/j.insmatheco.2020.01.002zbMath1435.91158OpenAlexW2999448625WikidataQ126345683 ScholiaQ126345683MaRDI QIDQ2306093

X. Sheldon Lin, Shuai Yang

Publication date: 20 March 2020

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.01.002

zbMATH Keywords

spline regressionsurrogate modelingpopulation samplingnested-simulationvariable annuity portfolio

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) General nonlinear regression (62J02) Actuarial mathematics (91G05)

Related Items (7)

Sample recycling method -- a new approach to efficient nested Monte Carlo simulations ⋮ Two-stage nested simulation of tail risk measurement: a likelihood ratio approach ⋮ Two-phase selection of representative contracts for valuation of large variable annuity portfolios ⋮ Tweedie multivariate semi-parametric credibility with the exchangeable correlation ⋮ EFFICIENT DYNAMIC HEDGING FOR LARGE VARIABLE ANNUITY PORTFOLIOS WITH MULTIPLE UNDERLYING ASSETS ⋮ Batch mode active learning framework and its application on valuing large variable annuity portfolios ⋮ Variable annuity pricing, valuation, and risk management: a survey

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