Fast and efficient nested simulation for large variable annuity portfolios : a surrogate modeling approach
X. Sheldon Lin, Shuai Yang
| Year of publication: |
2020
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|---|---|
| Authors: | Lin, X. Sheldon ; Yang, Shuai |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 91.2020, p. 85-103
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| Subject: | Nested-simulation | Population sampling | Spline regression | Surrogate modeling | Variable annuity portfolio | Simulation | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Private Altersvorsorge | Private retirement provision | Regressionsanalyse | Regression analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2020.01.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012241991