Valuation of large variable annuity portfolios under nested simulation : a functional data approach
Year of publication: |
2015
|
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Authors: | Gan, Guojun ; Lin, X. Sheldon |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 62.2015, p. 138-150
|
Subject: | Variable annuity | Minimum guarantee | Dollar Delta | VA portfolio | Nested simulation | Stochastic-on-stochastic | Clustering | Functional data analysis | Simulation | Portfolio-Management | Portfolio selection | Theorie | Theory | Private Altersvorsorge | Private retirement provision | Lebensversicherung | Life insurance |
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