Efficient Simulation Designs for Valuation of Large Variable Annuity Portfolios

DOI10.1080/10920277.2019.1685394zbMath1454.91184OpenAlexW3003777274MaRDI QIDQ5139818

Zhenni Tan, Ben Mingbin Feng, Jiayi Zheng

Publication date: 11 December 2020

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

Full work available at URL: https://doi.org/10.1080/10920277.2019.1685394

zbMATH Keywords

enterprise risk managementsimulation designsvariable annuity portfolios

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Related Items (2)

Two-stage nested simulation of tail risk measurement: a likelihood ratio approach ⋮ Variable annuity pricing, valuation, and risk management: a survey

Uses Software

• k-means++

Cites Work

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• Application of data clustering and machine learning in variable annuity valuation
• Valuation of large variable annuity portfolios under nested simulation: a functional data approach
• A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code
• Stochastic Kriging for Simulation Metamodeling
• Regression Modeling for the Valuation of Large Variable Annuity Portfolios
• Efficient Risk Estimation via Nested Sequential Simulation
• A Fuzzy Relative of the ISODATA Process and Its Use in Detecting Compact Well-Separated Clusters

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