Pesquisa de referências

Regression modeling for the valuation of large variable annuity portfolios

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20180017001
003  MAP
005  20220911203459.0
008  180606e20180301usa|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20140000234‎$a‎Gan, Guojun
24510‎$a‎Regression modeling for the valuation of large variable annuity portfolios‎$c‎Guojun Gan, Emiliano A. Valdez
520  ‎$a‎Variable annuities are insurance products that contain complex guarantees. To manage the financial risks associated with these guarantees, insurance companies rely heavily on Monte Carlo simulation. However, using Monte Carlo simulation to calculate the fair market values of these guarantees for a large portfolio of variable annuities is extremely time consuming. In this article, we propose the class of GB2 distributions to model the fair market values of guarantees to capture the positive skewness typically observed empirically. Numerical results are used to demonstrate and evaluate the performance of the proposed model in terms of accuracy and speed
650 4‎$0‎MAPA20080598358‎$a‎Productos de seguros
650 4‎$0‎MAPA20080590567‎$a‎Empresas de seguros
650 4‎$0‎MAPA20080608606‎$a‎Simulación Monte Carlo
650 4‎$0‎MAPA20150006585‎$a‎Valor de mercado
650 4‎$0‎MAPA20080560447‎$a‎Rendimiento
650 4‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 4‎$0‎MAPA20080602642‎$a‎Modelos de simulación
650 4‎$0‎MAPA20080586447‎$a‎Modelo estocástico
650 4‎$0‎MAPA20080592042‎$a‎Modelos matemáticos
7001 ‎$0‎MAPA20080648428‎$a‎Valdez, Emiliano A.
7730 ‎$w‎MAP20077000239‎$t‎North American actuarial journal‎$d‎Schaumburg : Society of Actuaries, 1997-‎$x‎1092-0277‎$g‎05/03/2018 Tomo 22 Número 1 - 2018 , p. 40-54