Scenario selection with LASSO regression for the valuation of variable annuity portfolios
Hang Nguyen, Michael Sherris, Andrés M. Villegas, Jonathan Ziveyi
| Year of publication: |
2024
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|---|---|
| Authors: | Nguyen, Hang ; Sherris, Michael ; Villegas, Andrés M. ; Ziveyi, Jonathan |
| Published in: |
Insurance : mathematics and economics. - Amsterdam : North Holland Publ. Co., ISSN 0167-6687, ZDB-ID 2010248-3. - Vol. 116.2024, p. 27-43
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| Subject: | LASSO | Linear model | Metamodeling | Neural network | Variable annuity | Regressionsanalyse | Regression analysis | Neuronale Netze | Neural networks | Portfolio-Management | Portfolio selection | Private Altersvorsorge | Private retirement provision | Schätztheorie | Estimation theory | Lebensversicherung | Life insurance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2024.01.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015066777