A Spatial Interpolation Framework for Efficient Valuation of Large Portfolios of Variable Annuities

A Spatial Interpolation Framework for Efficient Valuation of Large Portfolios of Variable Annuities

Variable Annuity (VA) products expose insurance companies to considerable risk becauseof the guarantees they provide to buyers of these products. Managing and hedging these risks requireinsurers to find the values of key risk metrics for a large portfolio of VA products. In practice, manycompanies r...

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Bibliographic Details
Main Authors: Seyed Amir Hejazi, Kenneth R. Jackson, Guojun Gan
Format: Article
Language:English
Published: AIMS Press 2017-07-01
Series:Quantitative Finance and Economics
Subjects:
variable annuity
spatial interpolation
Kriging
inverse distance weighting
radial basis function
portfolio valuation
Online Access:http://www.aimspress.com/QFE/article/1520/fulltext.html

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http://www.aimspress.com/QFE/article/1520/fulltext.html

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