An effective bias-corrected bagging method for the valuation of large variable annuity portfolios
by Hyukjun Gweon, Shu Li and Rogemar Mamon
| Year of publication: |
2020
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|---|---|
| Authors: | Gweon, Hyukjun Jay ; Li, Shu ; Mamon, Rogemar |
| Published in: |
ASTIN bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge Univ. Press, ISSN 1783-1350, ZDB-ID 2148228-7. - Vol. 50.2020, 3, p. 853-871
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| Subject: | bootstrap aggregating | metamodeling | portfolio valuation | regression tree | Variable annuity | Theorie | Theory | Portfolio-Management | Portfolio selection | Bootstrap-Verfahren | Bootstrap approach | Private Altersvorsorge | Private retirement provision | Regressionsanalyse | Regression analysis | Finanzanalyse | Financial analysis | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/asb.2020.28 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012307387