An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios

DOI10.1515/demo-2016-0022zbMath1382.91046OpenAlexW2925147768MaRDI QIDQ727671

Emiliano A. Valdez, Guojun Gan

Publication date: 20 December 2016

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2016-0022

zbMATH Keywords

data clusteringmetamodelingLatin hypercubevariable annuityportfolio valuationgeneralized beta of the second kind (GB2)multivariate experimental design

Mathematics Subject Classification ID

Related Items (11)

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 ⋮ Data Clustering with Actuarial Applications ⋮ AN EFFECTIVE BIAS-CORRECTED BAGGING METHOD FOR THE VALUATION OF LARGE VARIABLE ANNUITY PORTFOLIOS ⋮ An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios ⋮ 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 ⋮ Real-Time Valuation of Large Variable Annuity Portfolios: A Green Mesh Approach ⋮ A DSA Algorithm for Mortality Forecasting ⋮ Variable annuity pricing, valuation, and risk management: a survey

Uses Software

• clhs
• Latin Hypercube Sampling

Cites Work

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