Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach

DOI10.1080/10920277.2016.1245623zbMath1414.91188OpenAlexW2571411811MaRDI QIDQ5379212

X. Sheldon Lin, Guojun Gan

Publication date: 28 May 2019

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

Full work available at URL: https://doi.org/10.1080/10920277.2016.1245623

zbMATH Keywords

dynamic hedgingvariable annuity portfoliosGreek calculationtwo-level metamodeling

Mathematics Subject Classification ID

Related Items (15)

Sample recycling method -- a new approach to efficient nested Monte Carlo simulations ⋮ Regression Modeling for the Valuation of Large Variable Annuity Portfolios ⋮ Modeling partial Greeks of variable annuities with dependence ⋮ Valuation of Large Variable Annuity Portfolios with Rank Order Kriging ⋮ Two-phase selection of representative contracts for valuation of large variable annuity portfolios ⋮ Valuing Lifetime Withdrawal Guarantees in RILAs ⋮ Data Clustering with Actuarial Applications ⋮ Efficient Nested Simulation for Conditional Tail Expectation of Variable Annuities ⋮ EFFICIENT DYNAMIC HEDGING FOR LARGE VARIABLE ANNUITY PORTFOLIOS WITH MULTIPLE UNDERLYING ASSETS ⋮ An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios ⋮ Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets ⋮ HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS ⋮ Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate ⋮ Real-Time Valuation of Large Variable Annuity Portfolios: A Green Mesh Approach ⋮ Variable annuity pricing, valuation, and risk management: a survey

Uses Software

• lhs
• clhs
• Latin Hypercube Sampling

Cites Work

• Algorithms for generating maximin Latin hypercube and orthogonal designs
• Kriging metamodeling in simulation: a review
• 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 study on algorithms for optimization of Latin hypercubes
• Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
• Data Clustering in C++
• Stochastic Kriging for Simulation Metamodeling
• Response Surfaces, Mixtures, and Ridge Analyses
• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• Authors’ Reply: Pricing Annuity Guarantees Under a Regime-Switching Model - Discussion by Robert J. Elliott and Tak Kuen Siu
• Robust Response Surfaces, Regression, and Positive Data Analyses
• Option pricing when underlying stock returns are discontinuous
• Pricing Lookback Options and Dynamic Guarantees
• Pricing and Hedging Variable Annuity Guarantees with Multiasset Stochastic Investment Models
• Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals

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