Scenario selection with LASSO regression for the valuation of variable annuity portfolios

Cites Work

Unnamed Item
Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets
An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios
Relaxed Lasso
Moment matching machine learning methods for risk management of large variable annuity portfolios
Least angle regression. (With discussion)
Application of data clustering and machine learning in variable annuity valuation
Valuation of large variable annuity portfolios under nested simulation: a functional data approach
Modeling partial Greeks of variable annuities with dependence
A neural network approach to efficient valuation of large portfolios of variable annuities
Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
Regression Modeling for the Valuation of Large Variable Annuity Portfolios
Valuing variable annuity guarantees on multiple assets
AN EFFECTIVE BIAS-CORRECTED BAGGING METHOD FOR THE VALUATION OF LARGE VARIABLE ANNUITY PORTFOLIOS
Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models
Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach
Policyholder Exercise Behavior in Life Insurance: The State of Affairs
Model Selection and Estimation in Regression with Grouped Variables
Variable annuity pricing, valuation, and risk management: a survey
The Elements of Statistical Learning

This page was built for publication: Scenario selection with LASSO regression for the valuation of variable annuity portfolios