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Metamodeling For Variable Annuities
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Book Synopsis Metamodeling for Variable Annuities by : Guojun Gan
Download or read book Metamodeling for Variable Annuities written by Guojun Gan and published by CRC Press. This book was released on 2019-07-05 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Modeling Partial Greeks of Variable Annuities with Dependence by : Guojun Gan
Download or read book Modeling Partial Greeks of Variable Annuities with Dependence written by Guojun Gan and published by . This book was released on 2016 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dynamic hedging used to mitigate the financial risks associated with large portfolios of variable annuities requires calculating partial dollar deltas on major market indices. Metamodeling approaches have been proposed in the past few years to address the computational issues related to the calculation of partial dollar deltas. In this paper, we investigate whether the additional complication of modeling the dependence between the partial dollar deltas improves the accuracy of the metamodeling approaches. We use several copulas to model the dependence structures of the partial dollar deltas and conduct numerical experiments to compare different metamodels. Depiste the evidence of strong dependence in the estimated models, our numerical results show that modeling the dependence structures in the metamodels does not improve the accuracy of the estimations at the portfolio level. This is becasue the dependence between the partial dollar deltas is well captured by the covariates used in the marginal models. These findings suggest that we should focus on marginal models only and it is unnecessary to model dependence explicitly.
Book Synopsis Valuation of Large Variable Annuity Portfolios by : Guojun Gan
Download or read book Valuation of Large Variable Annuity Portfolios written by Guojun Gan and published by . This book was released on 2017 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Metamodeling techniques have recently been proposed to address the computational issues related to the valuation of large portfolios of variable annuity contracts. However, it is extremely difficult, if not impossible, for researchers to obtain real datasets from insurance companies in order to test their metamodeling techniques on such real datasets and publish the results in academic journals. Even if a researcher can obtain real datasets from insurance companies, it is difficult for the re- searcher to share the datasets with the public at large. To facilitate the development and dissemination of research related to the efficient valuation of large variable annuity portfolios, this paper creates a large synthetic portfolio of variable annuity contracts based on the properties of real portfolios of variable annuities and implements a Monte Carlo simulation engine for valuing the synthetic portfolio. In addition, this paper develops benchmark datasets of fair market values and Greeks, which are important quantities for managing the financial risks associated with variable annuities. The resulting datasets provide researchers with a common basis for testing and comparing the performance of various metamodeling techniques.
Book Synopsis An Empirical Comparison of Some Experimental Designs for the Valuation of Large Variable Annuity Portfolios by : Guojun Gan
Download or read book An Empirical Comparison of Some Experimental Designs for the Valuation of Large Variable Annuity Portfolios written by Guojun Gan and published by . This book was released on 2016 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: Variable annuities contain complex guarantees, whose fair market value cannot be calculated in closed form. To value the guarantees, insurance companies rely heavily on Monte Carlo simulation, which is extremely computationally demanding for large portfolios of variable annuity policies. Metamodeling approaches have been proposed to address these computational issues. An important step of metamodeling approaches is the experimental design that selects a small number of representative variable annuity policies for building metamodels. In this paper, we compare empirically several multivariate experimental design methods for the GB2 regression model, which has been recently discovered to be an attractive model to estimate the fair market value of variable annuity guarantees. Among the experimental design methods examined, we found that the data clustering method and the conditional Latin hypercube sampling method produce the most accurate results.
Download or read book Variable Annuities written by and published by . This book was released on 2005 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Variable Annuities by : Tigran Kalberer
Download or read book Variable Annuities written by Tigran Kalberer and published by . This book was released on 2009 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: Variable Annuities provides an overview of all the relevant aspects of variable annuity (VA) products from an insurers perspective. It is a collection of contributions from several authors, co-ordinated in such a way that it covers all relevant areas with minimal overlap and a consistent level of detail.
Book Synopsis Actuarial and Economic Aspects of Product Innovation in Variable Annuities by : Xiaochen Jing
Download or read book Actuarial and Economic Aspects of Product Innovation in Variable Annuities written by Xiaochen Jing and published by . This book was released on 2021 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: Variable Annuities (VAs) are innovative retirement products sold by insurers. My dissertation studies actuarial and economic aspects of product heterogeneity in VAs. I use textual analysis to construct a VA product dataset from real contracts. Based on this dataset, I investigate two research questions that contribute to two different fields of study. On the economic side, I investigate the drivers of the frequent innovation and complex product design in the VA market. More specifically, using my dataset of real VA contracts, I establish a recurring patterns in benefit-specific markets, where more fundamental innovations are followed by products in the same category of increasing complexity. I argue this pattern points to a coexistence of "virtuous" and "obfuscating" innovation in the VA market, with the former offering previous unavailable risk management tools to consumers and completing retail retirement markets, and the latter increasing complexity to exploit unsophisticated consumers. On the actuarial side, I examine metamodeling approaches for VA portfolio evaluation using a subset of my data. More specifically, I extract payoff-relevant information from the textual descriptions for VAs with Guaranteed Minimum Accumulation Benefits, and develop a flexible simulation-based valuation framework. I examine the accuracy and efficiency of metamodeling methods with different sampling and learning components. I find that larger training samples and more sophisticated learners help with prediction accuracy at the cost of longer runtimes. In contrast to previous literature, sampling methods do not have a significant effect on the overall performance in my setting. Overall, this dissertation provides insights related to product diversity in the VA market that are relevant to consumers, insurers, and policymakers. For consumers, instead of shopping for the cheapest deal, it is important to understand one's own risk profile and choose a suitable product accordingly. For insurers, metamodeling presents a viable evaluation approach for the analysis of real-world VAs at the portfolio level, although the performance for accurately valuing individual contracts is frail. For policymakers concerned with regulating complexity in retirement products, contract standardization may be a double-edge sword: while it can help mitigate "obfuscating" innovation, it also may stifle "virtuous" innovation at the same time.
Book Synopsis TheStreet. com Ratings Consumer Guide to Variable Annuities by : TheStreet.com Ratings, Incorporated
Download or read book TheStreet. com Ratings Consumer Guide to Variable Annuities written by TheStreet.com Ratings, Incorporated and published by . This book was released on 2007 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Truth about Variable Annuities by : Crc Fic Cwc J. Marc Ruggerio
Download or read book The Truth about Variable Annuities written by Crc Fic Cwc J. Marc Ruggerio and published by Lulu.com. This book was released on 2011-01-19 with total page 153 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most up to date and authoritative book on the complexities of structuring annuities. The author takes an unbiased point of view and articulates the complexities of all the major aspects of variable annuities and riders to allow them to become more understood by financial advisors and annuity owners alike. He clearly notes the benefits of variable annuities as well as the pitfalls which to look out for! Showing you the strategies that experts utilize within these investments while also detailing significant failures of cases where they were misunderstood and not structured properly. Can be used as a perfect reference guide on specific aspects of variable annuities as well as providing insight into the business of how variable annuities are sold. This is a bold and concise approach that allows the truth to be seen without reservations.
Book Synopsis Variable Annuities by : U S Securities and Exchange Commission
Download or read book Variable Annuities written by U S Securities and Exchange Commission and published by CreateSpace. This book was released on 2015-04-10 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: Variable annuities have become a part of the retirement and investment plans of many Americans. Before you buy a variable annuity, you should know some of the basics- and be prepared to ask your insurance agent, broker, financial planner, or other financial professional lots of questions about whether a variable annuity is right for you. This is a in-depth description of variable annuities-what they are, how they work, and the charges you will pay. Before buying any variable annuity, however, you should find out about the particular annuity you are considering. Request a prospectus from the insurance company or from your financial professional, and read it carefully. The prospectus contains important information about the annuity contract, including fees and charges, investment options, death benefits, and annuity payout options. You should compare the benefits and costs of the annuity to other variable annuities and to other types of investments, such as mutual funds.
Book Synopsis Guaranteed Income for Life by : Michael F. Lane
Download or read book Guaranteed Income for Life written by Michael F. Lane and published by McGraw-Hill Companies. This book was released on 1998-08 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Lane shows specific ways to use variable annuities to achieve lifelong financial security and gives tips on how to pick the best product for any given situation. 30 charts & graphs.
Book Synopsis Variable Annuities as Investments by : Wilford John Eiteman
Download or read book Variable Annuities as Investments written by Wilford John Eiteman and published by . This book was released on 1956 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Sales & Marketing Guide to Variable Annuities by : Gary H. Snouffer
Download or read book The Sales & Marketing Guide to Variable Annuities written by Gary H. Snouffer and published by . This book was released on 1997 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Knowledge Science, Engineering and Management by : Christos Douligeris
Download or read book Knowledge Science, Engineering and Management written by Christos Douligeris and published by Springer Nature. This book was released on 2019-08-20 with total page 868 pages. Available in PDF, EPUB and Kindle. Book excerpt: This two-volume set of LNAI 11775 and LNAI 11776 constitutes the refereed proceedings of the 12th International Conference on Knowledge Science, Engineering and Management, KSEM 2019, held in Athens, Greece, in August 2019. The 77 revised full papers and 23 short papers presented together with 10 poster papers were carefully reviewed and selected from 240 submissions. The papers of the first volume are organized in the following topical sections: Formal Reasoning and Ontologies; Recommendation Algorithms and Systems; Social Knowledge Analysis and Management ; Data Processing and Data Mining; Image and Video Data Analysis; Deep Learning; Knowledge Graph and Knowledge Management; Machine Learning; and Knowledge Engineering Applications. The papers of the second volume are organized in the following topical sections: Probabilistic Models and Applications; Text Mining and Document Analysis; Knowledge Theories and Models; and Network Knowledge Representation and Learning.
Book Synopsis Planning for the Golden Years with Variable Annuities by : C. Brian Conners
Download or read book Planning for the Golden Years with Variable Annuities written by C. Brian Conners and published by Lexington House. This book was released on 1999-01-01 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Investing with Variable Annuities by : John Parker Huggard
Download or read book Investing with Variable Annuities written by John Parker Huggard and published by . This book was released on 2001-09 with total page 233 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Variable Annuities written by and published by . This book was released on 2000 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
