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2016 | 4 | 1 |
Tytuł artykułu

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

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
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 policies for building metamodels. In this paper, we compare empirically several multivariate experimental design methods for the GB2 regression model, which has been recently discovered to be an attractive model to estimate the fair market value of variable annuity guarantees. Among the experimental design methods examined, we found that the data clustering method and the conditional Latin hypercube sampling method produce the most accurate results.
Wydawca
Czasopismo
Rocznik
Tom
4
Numer
1
Opis fizyczny
Daty
otrzymano
2016-08-24
zaakceptowano
2016-11-26
online
2016-12-14
Twórcy
autor
  • Department of Mathematics, University of Connecticut
  • Department of Mathematics, University of Connecticut
Bibliografia
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.doi-10_1515_demo-2016-0022
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