Centro de Documentacion de Fundación MAPFRE - Efficient simulation designs for valuation of large variable annuity portfolios

MAP20200018124

Efficient simulation designs for valuation of large variable annuity portfolios / Ben Mingbin Feng , Zhenni Tan, Jiayi Zheng

Sumario: The valuation of large variable annuity portfolios is an important enterprise risk management task but is computationally challenging due to the need for simulation. Existing methods in the literature only use simple experimental designs with significant room for improvement. This article identifies three major components in an efficient valuation framework. In addition, we propose optimal experimental designs and provides analytical insights for each component. Our numerical results show that our proposal achieves significantly higher accuracy than state-of-the-art alternatives without requiring any additional computational resource

En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 01/06/2020 Tomo 24 Número 2 - 2020 , p. 275-289

1. Simulación económica . 2. Modelos de simulación . 3. Valoración de inversiones . 4. Gerencia de riesgos . 5. Métodos actuariales . 6. Propuestas . I. Tan, Zhenni . II. Zheng, Jiayi . III. Título.