Valuation of variable annuity portfolios using finite and infinite width neural networks
Direct valuation of variable annuity guarantees relies on nested simulation, which is
computationally costly. One way of feasibly valuing large portfolios relies on a two-step …
computationally costly. One way of feasibly valuing large portfolios relies on a two-step …
Several Mathematical Problems in Investment Management
R Jiang - 2023 - uwspace.uwaterloo.ca
This thesis studies four mathematical problems in investment management. All four
problems arise from practical challenges and are data-driven. Chapter 2 investigates the …
problems arise from practical challenges and are data-driven. Chapter 2 investigates the …
[HTML][HTML] Scenario selection with LASSO regression for the valuation of variable annuity portfolios
Variable annuities (VAs) are increasingly becoming popular insurance products in many
developed countries which provide guaranteed forms of income depending on the …
developed countries which provide guaranteed forms of income depending on the …