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 …
Read More ↓Title Statements
- Full title :Metamodeling for variable annuities
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
Notes
Preface. Part 1: Preliminaries. 1. Computational Problems in Variable Annuities. 2. Existing Approaches. 3. Metamodeling Approach. Part 2: Experimental Design Methods. 4. Conditional Latin Hypercube Sampling. 5. Hierarchical Clustering. 6. Partitional Clustering. Part 3: Predictive Modeling. 7. Ordinary Kriging. 8. Universal Kriging. 9. GB2 Regression Model. 10. Spliced Regression Model. 11. Neural Networks. Appendix A: Sample Datasets
The Physical Object
- Description:196 s.
Edition Identifiers
- ISBN:9780815348580, 0815348584
- oclc:on1133218441
Subjects
Writers
More from this Series
No reviews yet. Be the first to rate this work.
Rate & Review