An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios
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. Metamodelin...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2016-12-01
|
| Series: | Dependence Modeling |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/demo-2016-0022 |