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- W2292167345 endingPage "1114" @default.
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- W2292167345 abstract "Variable annuities are long-term investment vehicles that have grown rapidly in popularity recently. One major feature of variable annuities is that they contain guarantees. The guarantees embedded in variable annuities are complex and the values of the guarantees cannot be obtained from closed-form formulas. Insurance companies rely heavily on Monte Carlo simulation to calculate the fair market values of the guarantees. Valuation and risk management of a large portfolio of variable annuities are a big challenge to insurance companies because the Monte Carlo simulation model is very time consuming. In this paper, we propose to use a metamodeling approach to speed up the valuation of large portfolios of variable annuities. Our numerical results show that the metamodeling approach can reduce the runtime significantly and produce accurate approximations." @default.
- W2292167345 created "2016-06-24" @default.
- W2292167345 creator A5000062069 @default.
- W2292167345 date "2015-12-06" @default.
- W2292167345 modified "2023-09-23" @default.
- W2292167345 title "Application of metamodeling to the valuation of large variable annuity portfolios" @default.
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- W2292167345 doi "https://doi.org/10.5555/2888619.2888740" @default.
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