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Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets

Guojun GanEmiliano A. Valdez — 2017

Dependence Modeling

Metamodeling techniques have recently been proposed to address the computational issues related to the valuation of large portfolios of variable annuity contracts. However, it is extremely diffcult, if not impossible, for researchers to obtain real datasets frominsurance companies in order to test their metamodeling techniques on such real datasets and publish the results in academic journals. To facilitate the development and dissemination of research related to the effcient valuation of large...

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

Guojun GanEmiliano A. Valdez — 2016

Dependence Modeling

Variable annuities contain complex guarantees, whose fair market value cannot be calculated in closed form. To value the guarantees, insurance companies rely heavily on Monte Carlo simulation, which is extremely computationally demanding for large portfolios of variable annuity policies. Metamodeling approaches have been proposed to address these computational issues. An important step of metamodeling approaches is the experimental design that selects a small number of representative variable annuity...

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