Real-time valuation of large variable annuity portfolios: a green mesh approach

• المؤلفون الرئيسيون: Liu, Kai, Tan, Ken Seng
• مؤلفون آخرون: Nanyang Business School
• التنسيق: مقال
• اللغة: English
• منشور في: 2022
• الموضوعات: Business::Finance; Guaranteed Minimum Benefits; Monte Carlo Methods
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/160908
• المؤسسة: Nanyang Technological University

The valuation of large variable annuity (VA) portfolios is an important problem of interest, not only because of its practical relevance but also because of its theoretical significance. This is prompted by the phenomenon that many existing sophisticated algorithms are typically efficient at valuing...