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Large Portfolio VA Valuation Powered by GPUs & Deep Learning
is attrac- tive for intraday rebalances of the dynamic hedging program. However, GPUs alone cannot compute ... as guar- anteed living benefits utilization and dynamic lapse, are hard to model. Because deep learning ...- Authors: Huina Chen
- Date: Apr 2018
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: CompAct
- Topics: Annuities>Pricing - Annuities; Modeling & Statistical Methods>Modeling efficiency
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Market-Consistent Pricing As The Market Sort Of Normalizes: Separating the permanent from the temporary grayness Part 2 of 2
ultimate persistency of 82 percent. (We’ll avoid dynamic lapses in the modeling, but comment later on their ... hedged or can be hedged only with short-term, dynamic programs that easily “fall apart” during a dislocation ...- Authors: Eric Clapprood
- Date: Jun 2011
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Product Matters!
- Topics: Annuities>Investment strategy - Annuities; Annuities>Pricing - Annuities; Life Insurance>Pricing - Life Insurance; Life Insurance>Investment strategy - Life Insurance
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Loaded Participation Rates For Equity-Indexed Annuities
contract. The hedging errors are extracted from the dynamic hedging strategy. Using risk measures, we then ... equity-linked contract using the financial approach. The dynamic hedging strategy underlying the fair valuation ...- Authors: PATRICE GAILLARDETZ, Youssef Joe Lakhmiri
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions
- Topics: Annuities>Equity-indexed annuities; Annuities>Pricing - Annuities; Modeling & Statistical Methods>Stochastic models