Moment matching machine learning methods for risk management of large variable annuity portfolios
type: Item
instance of: scholarly article
title: Moment matching machine learning methods for risk management of large variable annuity portfolios
zbMATH Open document ID: 1401.91525
author: Wei Xu
author: Yuehuan Chen
author: Conrad Coleman
author: Thomas F. Coleman
publication date: 2018-08-13T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6916808
zbMATH Keywords: variable annuity
zbMATH Keywords: Johnson curve
zbMATH Keywords: machine learning
zbMATH Keywords: dollar delta
zbMATH Keywords: VaR
describes a project that uses: AS 99
describes a project that uses: ADMAT
MaRDI profile type: Publication
full work available at URL: j.jedc.2017.11.002
OpenAlex ID: W2768301016
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DOI: 10.1016/J.JEDC.2017.11.002
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 6916808