Doyle, Daniel; Groendyke, Chris - In: Risks : open access journal 7 (2019) 1/2, pp. 1-19
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...
