Metamodeling for Variable Annuities

ISBN-13: 9780815348580 / Angielski / Twarda / 2019 / 196 str.

Guojun Gan; Emiliano A. Valdez

Opis

This book is devoted to the mathematical methods of metamodeling that can be used to speed up the valuation of large portfolios of variable annuities. It is suitable for advanced undergraduate students, graduate students, and practitioners.

Spis treści

Preface. Part 1: Preliminaries. 1. Computational Problems in Variable Annuities. 2. Existing Approaches. 3. Metamodeling Approach. Part 2: Experimental Design Methods. 4. Conditional Latin Hypercube Sampling. 5. Hierarchical Clustering. 6. Partitional Clustering. Part 3: Predictive Modeling. 7. Ordinary Kriging. 8. Universal Kriging. 9. GB2 Regression Model. 10. Spliced Regression Model. 11. Neural Networks. Appendix A: Sample Datasets.