Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach
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DOI: 10.1080/10920277.2016.1245623
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Cited by:
- Daniel Doyle & Chris Groendyke, 2018. "Using Neural Networks to Price and Hedge Variable Annuity Guarantees," Risks, MDPI, vol. 7(1), pages 1-19, December.
- Wing Fung Chong & Haoen Cui & Yuxuan Li, 2021. "Pseudo-Model-Free Hedging for Variable Annuities via Deep Reinforcement Learning," Papers 2107.03340, arXiv.org, revised Oct 2022.
- Guojun Gan & Emiliano A. Valdez, 2018. "Nested Stochastic Valuation of Large Variable Annuity Portfolios: Monte Carlo Simulation and Synthetic Datasets," Data, MDPI, vol. 3(3), pages 1-21, September.
- Thorsten Moenig, 2021. "Efficient valuation of variable annuity portfolios with dynamic programming," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(4), pages 1023-1055, December.
- Ludovic Goudenège & Andrea Molent & Antonino Zanette, 2021. "Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 57-72, June.
- Guojun Gan, 2018. "Valuation of Large Variable Annuity Portfolios Using Linear Models with Interactions," Risks, MDPI, vol. 6(3), pages 1-19, July.
- Jiang, Ruihong & Saunders, David & Weng, Chengguo, 2023. "Two-phase selection of representative contracts for valuation of large variable annuity portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 293-309.
- Tak Kuen Siu & Robert J. Elliott, 2019. "Hedging Options In A Doubly Markov-Modulated Financial Market Via Stochastic Flows," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-41, December.
- Runhuan Feng & Peng Li, 2021. "Sample Recycling Method -- A New Approach to Efficient Nested Monte Carlo Simulations," Papers 2106.06028, arXiv.org.
- Nguyen, Hang & Sherris, Michael & Villegas, Andrés M. & Ziveyi, Jonathan, 2024. "Scenario selection with LASSO regression for the valuation of variable annuity portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 27-43.
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