Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets
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 diffcult, if not impossible, for researchers to obtain real datasets frominsurance companies in order to test t...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2017-12-01
|
| Series: | Dependence Modeling |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/demo-2017-0021 |
| _version_ | 1819114117666963456 |
|---|---|
| author | Gan Guojun Valdez Emiliano A. |
| author_facet | Gan Guojun Valdez Emiliano A. |
| author_sort | Gan Guojun |
| collection | DOAJ |
| description | 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 diffcult, if not impossible, for researchers to obtain real datasets frominsurance companies in order to test their metamodeling techniques on such real datasets and publish the results in academic journals. To facilitate the development and dissemination of research related to the effcient 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 simple Monte Carlo simulation engine for valuing the synthetic portfolio. In addition, this paper presents fair market values and Greeks for the synthetic portfolio of variable annuity contracts that are important quantities for managing the financial risks associated with variable annuities. The resulting datasets can be used by researchers to test and compare the performance of various metamodeling techniques. |
| first_indexed | 2024-12-22T04:40:12Z |
| format | Article |
| id | doaj.art-2c7b82328dc743489912ddfd394c2dc0 |
| institution | Directory Open Access Journal |
| issn | 2300-2298 |
| language | English |
| last_indexed | 2024-12-22T04:40:12Z |
| publishDate | 2017-12-01 |
| publisher | De Gruyter |
| record_format | Article |
| series | Dependence Modeling |
| spelling | doaj.art-2c7b82328dc743489912ddfd394c2dc02022-12-21T18:38:47ZengDe GruyterDependence Modeling2300-22982017-12-015135437410.1515/demo-2017-0021demo-2017-0021Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasetsGan Guojun0Valdez Emiliano A.1Department of Mathematics, University of Connecticut, Storrs, Connecticut 06269, USADepartment of Mathematics, University of Connecticut, Storrs, Connecticut 06269, USAMetamodeling 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 diffcult, if not impossible, for researchers to obtain real datasets frominsurance companies in order to test their metamodeling techniques on such real datasets and publish the results in academic journals. To facilitate the development and dissemination of research related to the effcient 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 simple Monte Carlo simulation engine for valuing the synthetic portfolio. In addition, this paper presents fair market values and Greeks for the synthetic portfolio of variable annuity contracts that are important quantities for managing the financial risks associated with variable annuities. The resulting datasets can be used by researchers to test and compare the performance of various metamodeling techniques.https://doi.org/10.1515/demo-2017-0021monte carlomultivariate black-scholesmetamodelingvariable annuityportfolio valuation65c0591g60 |
| spellingShingle | Gan Guojun Valdez Emiliano A. Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets Dependence Modeling monte carlo multivariate black-scholes metamodeling variable annuity portfolio valuation 65c05 91g60 |
| title | Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets |
| title_full | Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets |
| title_fullStr | Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets |
| title_full_unstemmed | Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets |
| title_short | Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets |
| title_sort | valuation of large variable annuity portfolios monte carlo simulation and synthetic datasets |
| topic | monte carlo multivariate black-scholes metamodeling variable annuity portfolio valuation 65c05 91g60 |
| url | https://doi.org/10.1515/demo-2017-0021 |
| work_keys_str_mv | AT ganguojun valuationoflargevariableannuityportfoliosmontecarlosimulationandsyntheticdatasets AT valdezemilianoa valuationoflargevariableannuityportfoliosmontecarlosimulationandsyntheticdatasets |