Moment matching machine learning methods for risk management of large variable annuity portfolios
Wei Xu, Yuehuan Chen, Conrad Coleman, Thomas F. Coleman
| Year of publication: |
February 2018
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|---|---|
| Authors: | Xu, Wei ; Chen, Yuehuan ; Coleman, Conrad ; Coleman, Thomas F. |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 87.2018, p. 1-20
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| Subject: | Variable annuity | Johnson curve | Machine learning | Dollar delta | VaR | Künstliche Intelligenz | Artificial intelligence | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Private Altersvorsorge | Private retirement provision | Prognoseverfahren | Forecasting model |