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Future Greeks Without Nested Stochastics – A Neural Network Approach
Future Greeks Without Nested Stochastics – A Neural Network Approach The speaker will discuss ... follow federal law. The Sherman Act, is the primary U.S. antitrust law pertaining to association activities ...Description: The speaker will discuss the training of neural networks to compute future Greeks of liabilities (or options) without the use of nested stochastics.
Hide- Authors: Yu Feng FSA,MAAA (Yu)
- Date: Oct 2019
- Competency: External Forces & Industry Knowledge; Results-Oriented Solutions; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Topics: Annuities>Equity-indexed annuities; Annuities>Fixed annuities; Annuities>Variable annuities; Enterprise Risk Management
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Speeding up Actuarial Seriatim Calculations
Speeding up Actuarial Seriatim Calculations Regulatory change and increased focus on ... not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered ...Description: Regulatory change and increased focus on internal risk management are driving a renewed interest in model efficiency. In this session, we will review several new and existing tools, that show significant promise for advanced modeling of equity linked products. These include: • Clustering • Use of unique--and potentially a different number of--scenarios for each policy • Semi Monte Carlo (SMC) – this is a proprietary technique that is similar to a combination of Monte Carlo and numeric integration • Using a neural network approach to optimize some of the more complex and manual aspects of clustering and improve the fit of the clustered model • Combining SMC with the use of unique scenarios per policy
Hide- Authors: Andrey Marchenko
- Date: Oct 2019
- Competency: External Forces & Industry Knowledge; Results-Oriented Solutions; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Topics: Annuities; Annuities>Equity-indexed annuities; Annuities>Fixed annuities; Annuities>Variable annuities; Enterprise Risk Management