Valuation of large variable annuity portfolios using linear models with interactions
A variable annuity is a popular life insurance product that comes with financial guarantees. Using Monte Carlo simulation to value a large variable annuity portfolio is extremely time-consuming. Metamodeling approaches have been proposed in the literature to speed up the valuation process. In metamo...
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| Format: | Article |
| Language: | English |
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MDPI AG
2018
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| Online Access: | View Fulltext in Publisher |