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Portfolio-Management
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nested simulation
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Insurance / Mathematics & economics
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Dynamic importance allocated
nested
simulation
for variable annuity risk measurement
Dang, Ou
;
Feng, Mingbin
;
Hardy, Mary Rosalyn
- In:
Annals of actuarial science : publ. by the Institute of …
16
(
2022
)
2
,
pp. 319-348
Persistent link: https://www.econbiz.de/10013342141
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2
Subsampling and other considerations for efficient risk estimation in large portfolios
Giles, Michael B.
;
Haji-Ali, Abdul-Lateef
- In:
The journal of computational finance
26
(
2022
)
1
,
pp. 113-140
Persistent link: https://www.econbiz.de/10014546280
Saved in:
3
Fast and efficient
nested
simulation
for large variable annuity portfolios : a surrogate modeling approach
Lin, X. Sheldon
;
Yang, Shuai
- In:
Insurance / Mathematics & economics
91
(
2020
),
pp. 85-103
Persistent link: https://www.econbiz.de/10012241991
Saved in:
4
Efficient dynamic hedging for large variable annuity portfolios with multiple underlying assets
Lin, X. Sheldon
;
Yang, Shuai
- In:
ASTIN bulletin : the journal of the International …
50
(
2020
)
3
,
pp. 913-957
Persistent link: https://www.econbiz.de/10012307390
Saved in:
5
Valuation of large variable annuity portfolios under
nested
simulation
: a functional data approach
Gan, Guojun
;
Lin, X. Sheldon
- In:
Insurance / Mathematics & economics
62
(
2015
),
pp. 138-150
Persistent link: https://www.econbiz.de/10011312079
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