Real-Time Valuation of Large Variable Annuity Portfolios: A Green Mesh Approach-Reference-Cited by-同舟云学术

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Real-Time Valuation of Large Variable Annuity Portfolios: A Green Mesh Approach

Published:2020-01-30 Issue:3 Volume:25 Page:313-333
ISSN:1092-0277
Container-title:North American Actuarial Journal
language:en
Short-container-title:North American Actuarial Journal

Author:

Liu Kai¹,Tan Ken Seng²³

Affiliation:

1. School of Mathematical and Computational Science, University of Prince Edward Island, Charlottetown, Prince Edward Island, Canada

2. Division of Banking and Finance, Nanyang Business School, Nanyang Technological University, Singapore

3. Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ontario, Canada

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/10920277.2019.1697707

Reference47 articles.

1. NP-hardness of Euclidean sum-of-squares clustering

2. The Existence of Optimal Bang-Bang Controls for GMxB Contracts

3. A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities

Cited by 11 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Robust Prediction Intervals for Valuation of Large Portfolios of Variable Annuities: A Comparative Study of Five Models;Computational Economics;2024-03-15

2. Two-phase selection of representative contracts for valuation of large variable annuity portfolios;Insurance: Mathematics and Economics;2023-11

3. Pseudo-model-free hedging for variable annuities via deep reinforcement learning;Annals of Actuarial Science;2023-03-14

4. Metamodeling for Variable Annuity Valuation: 10 Years Beyond Kriging;2022 Winter Simulation Conference (WSC);2022-12-11

5. Variable annuity pricing, valuation, and risk management: a survey;Scandinavian Actuarial Journal;2022-03-28

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