A neural network approach to efficient valuation of large portfolios of variable annuities
Seyed Amir Hejazi, Kenneth R. Jackson
| Year of publication: |
September 2016
|
|---|---|
| Authors: | Hejazi, Seyed Amir ; Jackson, Kenneth R. |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 70.2016, p. 169-181
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| Subject: | Variable annuity | Spatial interpolation | Neural network | Portfolio valuation | Monte Carlo simulation | Monte-Carlo-Simulation | Neuronale Netze | Neural networks | Portfolio-Management | Portfolio selection | Private Altersvorsorge | Private retirement provision | Finanzanalyse | Financial analysis | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.06.013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011597261