This paper explores the use of neural networks to reduce the computational cost of pricing and hedging variable annuity guarantees. Pricing these guarantees can take a considerable amount of time because of the large number of Monte Carlo simulations that are required for the fair value of these...

The lifestyles and backgrounds of individuals across the United States differ widely. Some of these differences are easily measurable (ethnicity, age, income, etc.) while others are not (stress levels, empathy, diet, exercise, etc.). Though every person is unique, individuals living closer...

Using a number of modern predictive modeling methods, we seek to understand the factors that drive mortality in the contiguous United States. The mortality data we use is indexed by county and year as well as age grouped into 18 different bins. We propose a model that adds two important...