Regression Modeling for the Valuation of Large Variable Annuity Portfolios
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Publication:4567959
DOI10.1080/10920277.2017.1366863zbMath1393.91099OpenAlexW3125948402MaRDI QIDQ4567959
Emiliano A. Valdez, Guojun Gan
Publication date: 20 June 2018
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2017.1366863
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Related Items (14)
Copula Regression for Compound Distributions with Endogenous Covariates with Applications in Insurance Deductible Pricing ⋮ Optimal fee structure of variable annuities ⋮ Valuation of Large Variable Annuity Portfolios with Rank Order Kriging ⋮ Two-phase selection of representative contracts for valuation of large variable annuity portfolios ⋮ Tweedie multivariate semi-parametric credibility with the exchangeable correlation ⋮ Data Clustering with Actuarial Applications ⋮ Efficient Simulation Designs for Valuation of Large Variable Annuity Portfolios ⋮ 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 ⋮ Fat-Tailed Regression Modeling with Spliced Distributions ⋮ Batch mode active learning framework and its application on valuing large variable annuity portfolios ⋮ Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets ⋮ Fast and efficient nested simulation for large variable annuity portfolios: a surrogate modeling approach ⋮ Variable annuity pricing, valuation, and risk management: a survey
Uses Software
Cites Work
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- Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach
- Hierarchical Insurance Claims Modeling
- Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals
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