Metamodeling for Variable Annuities

1st Edition

Guojun Gan, Emiliano A. Valdez

Chapman and Hall/CRC
Published July 11, 2019
Reference - 196 Pages - 68 B/W Illustrations
ISBN 9780815348580 - CAT# K345583
Series: Chapman and Hall/CRC Financial Mathematics Series

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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.

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