Valuation of large variable annuity portfolios under nested simulation : a functional data approach
Guojun Gan; X. Sheldon Lin
| Year of publication: |
2015
|
|---|---|
| Authors: | Gan, Guojun ; Lin, X. Sheldon |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 62.2015, p. 138-150
|
| Subject: | Variable annuity | Minimum guarantee | Dollar Delta | VA portfolio | Nested simulation | Stochastic-on-stochastic | Clustering | Functional data analysis | Simulation | Portfolio-Management | Portfolio selection | Theorie | Theory | Private Altersvorsorge | Private retirement provision | Finanzanalyse | Financial analysis | Monte-Carlo-Simulation | Monte Carlo simulation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011312079