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Valuation of Large Variable Annuity Portfolios Using Linear Models with Interactions
11 references·1 citing·34 second hop
Valuation of Large Variable Annuity Portfolios Using Linear Models with Interactions (2018)Valuation of Large Variable Annuity Portf…Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets (2017)Valuation of large variable a…Moment matching machine learning methods for risk management of large variable annuity portfolios (2017)Moment matching machine learn…Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach (2017)Efficient Greek Calculation o…Regression Modeling for the Valuation of Large Variable Annuity Portfolios (2016)Regression Modeling for the V…A neural network approach to efficient valuation of large portfolios of variable annuities (2016)A neural network approach to …Valuation of large variable annuity portfolios under nested simulation: A functional data approach (2015)Valuation of large variable a…Application of metamodeling to the valuation of large variable annuity portfolios (2015)Application of metamodeling t…Application of Data Clustering and Machine Learning in Variable Annuity Valuation (2013)Application of Data Clusterin…Variable Annuities (2008)Variable AnnuitiesReserving for maturity guarantees: Two approaches (1997)Reserving for maturity guaran…A Concordance Correlation Coefficient to Evaluate Reproducibility (1989)A Concordance Correlation Coe…Using Neural Networks to Price and Hedge Variable Annuity Guarantees (2018)Using Neural Networks to Pric…The pricing of equity-linked life insurance policies with an asset value guarantee (1976)Options, Futures, and Other Derivative Securities. (1990)More on a Stochastic Asset Model for Actuarial Use (1995)Return smoothing mechanisms in life and pension insurance: Path-dependent contingent claims (2005)Hedging guarantees in variable annuities under both equity and interest rate risks (2006)Robustly Hedging Variable Annuities With Guarantees Under Jump and Volatility Risks (2007)Principles of geographical information systems (1998)Options, Futures and Other Derivatives (2003)“Options, Futures, and Other Derivatives” (2016)An Empirical Comparison of Some Experimental Designs for the Valuation of Large Variable Annuity Portfolios (2016)A Data Driven Neural Network Approach to Optimal Asset Allocation for Target Based Defined Contribution Pension Plans (2018)Option pricing when underlying stock returns are discontinuous (1976)Statistics for Spatial Data (1993)Statistics for Spatial Data. (1993)Investment guarantees : modeling and risk management for equity-linked life insurance (2003)Interpolation Methods for Curve Construction (2006)A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities (2008)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Separating the signal from the noise – Financial machine learning for Twitter (2020)Stochastic Bounds for Reference Sets in Portfolio Analysis (2021)The Pricing of Options and Corporate Liabilities (1973)An Introduction to Applied Geostatistics (1991)An Introduction to Applied Geostatistics. (1991)Statistics of Extremes (2004)Stochastic Kriging for Simulation Metamodeling (2009)Kriging of financial term-structures (2016)Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models (2020)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Framework (2016)Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under stochastic interest rate (2017)Reproducibility and responsiveness of health status measures statistics and strategies for evaluation (1991)Statistical Methods For Assessing Measurement Error (Reliability) in Variables Relevant to Sports Medicine (1998)Content Analysis in Mass Communication: Assessment and Reporting of Intercoder Reliability (2002)
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References

  • 1989A Concordance Correlation Coefficient to Evaluate Reproducibility8,782 cited
  • 1997Reserving for maturity guarantees: Two approaches139 cited
  • 2013Application of Data Clustering and Machine Learning in Variable Annuity Valuation99 cited
  • 2008Variable Annuities76 cited
  • 2015Valuation of large variable annuity portfolios under nested simulation: A functional data approach71 cited
  • 2016A neural network approach to efficient valuation of large portfolios of variable annuities51 cited
  • 2016Regression Modeling for the Valuation of Large Variable Annuity Portfolios44 cited
  • 2017Moment matching machine learning methods for risk management of large variable annuity portfolios40 cited
  • 2017Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach38 cited
  • 2017Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets32 cited
  • 2015Application of metamodeling to the valuation of large variable annuity portfolios25 cited

Cited by

  • 2018Using Neural Networks to Price and Hedge Variable Annuity Guarantees21 cited

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