SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

A neural network approach to efficient valuation of large portfolios of variable annuities · Study

ArticleShelves

ArticleA neural network approach to efficient valuation of large portfolios of variable annuities

Seyed Amir Hejazi2016

Article2016

A neural network approach to efficient valuation of large portfolios of variable annuities

Seyed Amir Hejazi · Kenneth R. Jackson

51 citations·0/0 files stored·Insurance Mathematics and Economics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Insurance and Financial Risk Management Probability and Risk Models

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 51 citations exist upstream.

References

2016“Options, Futures, and Other Derivatives”1998Principles of geographical information systems 2003Options, Futures and Other Derivatives 2001Valuing American Options by Simulation: A Simple Least-Squares Approach 1996Valuation of the early-exercise price for options using simulations and nonparametric regression 2003Investment guarantees : modeling and risk management for equity-linked life insurance 2005Financial valuation of guaranteed minimum withdrawal benefits 2008GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES

Cited by

2017Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets 2018A Data Driven Neural Network Approach to Optimal Asset Allocation for Target Based Defined Contribution Pension Plans 2018Valuation of Large Variable Annuity Portfolios Using Linear Models with Interactions 2024Option pricing in the Heston model with physics inspired neural networks 2018Using Neural Networks to Price and Hedge Variable Annuity Guarantees

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2016A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Frameworkarticle · 8 shared references 2010Valuation of a Guaranteed Minimum Income Benefitarticle · 6 shared references 2012Optimal consumption and allocation in variable annuities with Guaranteed Minimum Death Benefitsarticle · 6 shared references 2015Valuation of large variable annuity portfolios under nested simulation: A functional data approacharticle · 5 shared references 2009Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawalsarticle · 5 shared references 2017Moment matching machine learning methods for risk management of large variable annuity portfoliosarticle · 5 shared references

Details

Year2016

Typearticle

Published2016-06-29

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations51

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.insmatheco.2016.06.013

openalex_workW2465012345

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2018

The Effectiveness of Building Permit Regulation for Green Open Space at Housing Estates: Case Study of Kendal Regency, Central Java, Indonesia