Metamodeling for variable annuities
by Gan, Guojun
This book is devoted to the mathematical methods of metamodeling that can be used to speed up the valuation of large portfolios of variable annuities. It is suitable for advanced undergraduate students, graduate students, and practitioners. It is the goal of this book to describe the computational problems and present the metamodeling approaches in a way that can be accessible to advanced undergraduate students and practitioners. To that end, the book will not only describe the theory of these …
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- Full title :Metamodeling for variable annuities / Guojun Gan, Emiliano A. Valdez.
Summary
This book is devoted to the mathematical methods of metamodeling that can be used to speed up the valuation of large portfolios of variable annuities. It is suitable for advanced undergraduate students, graduate students, and practitioners. It is the goal of this book to describe the computational problems and present the metamodeling approaches in a way that can be accessible to advanced undergraduate students and practitioners. To that end, the book will not only describe the theory of these mathematical approaches, but also present the implementations.
Read More ↓Edition Statements
- Publication Date:©2020
Publication Statements
- Publisher(s):CRC Press
- Place of Publication:Boca Raton, FL
- Language:eng
- Publication Date:©2020
The Physical Object
- Description:xiii, 196 pages : : illustrations ; : 24 cm
Edition Identifiers
- ISBN:9780815348580, 0815348584
- oclc:on1112781118
- LC Classification:HG8790
- Dewey Decimal:368.37
Table of Contents
Preface -- Preliminaries. Computational problems in variable annuities -- Existing approaches -- Metamodeling approach -- Experimental design methods. Conditional Latin hypercube sampling -- Hierarchical clustering -- Partitional clustering -- Predictive modeling. Ordinary kriging -- Universal kriging -- GB2 regression model -- Spliced regression model -- Neural networks.
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