Real-time valuation of large variable annuity portfolios: a green mesh approach
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...
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| Main Authors: | , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
2022
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/160908 |
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| Institution: | Nanyang Technological University |
| Language: | English |