Valuation of Large Variable Annuity Portfolios with Rank Order Kriging

DOI10.1080/10920277.2019.1617169zbMath1437.91391OpenAlexW2971878258WikidataQ127287814 ScholiaQ127287814MaRDI QIDQ5108352

Guojun Gan, Emiliano A. Valdez

Publication date: 4 May 2020

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2019.1617169

zbMATH Keywords

kriginglarge variable annuity portfoliosGB2 regression

Mathematics Subject Classification ID

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

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