Nested Stochastic Valuation of Large Variable Annuity Portfolios: Monte Carlo Simulation and Synthetic Datasets
Dynamic hedging has been adopted by many insurance companies to mitigate the financial risks associated with variable annuity guarantees. To simulate the performance of dynamic hedging for variable annuity products, insurance companies rely on nested stochastic projections, which is highly computati...
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| Format: | Article |
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MDPI AG
2018-09-01
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| Online Access: | http://www.mdpi.com/2306-5729/3/3/31 |
| _version_ | 1798025702025461760 |
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| author | Guojun Gan Emiliano A. Valdez |
| author_facet | Guojun Gan Emiliano A. Valdez |
| author_sort | Guojun Gan |
| collection | DOAJ |
| description | Dynamic hedging has been adopted by many insurance companies to mitigate the financial risks associated with variable annuity guarantees. To simulate the performance of dynamic hedging for variable annuity products, insurance companies rely on nested stochastic projections, which is highly computationally intensive and often prohibitive for large variable annuity portfolios. Metamodeling techniques have recently been proposed to address the computational issues. However, it is difficult for researchers to obtain real datasets from insurance companies to test metamodeling techniques and publish the results in academic journals. In this paper, we create synthetic datasets that can be used for the purpose of addressing the computational issues associated with the nested stochastic valuation of large variable annuity portfolios. The runtime used to create these synthetic datasets would be about three years if a single CPU were used. These datasets are readily available to researchers and practitioners so that they can focus on testing metamodeling techniques. |
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| format | Article |
| id | doaj.art-57fe793f99f9405bab0c0522d220ae67 |
| institution | Directory Open Access Journal |
| issn | 2306-5729 |
| language | English |
| last_indexed | 2024-04-11T18:23:05Z |
| publishDate | 2018-09-01 |
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| spelling | doaj.art-57fe793f99f9405bab0c0522d220ae672022-12-22T04:09:42ZengMDPI AGData2306-57292018-09-01333110.3390/data3030031data3030031Nested Stochastic Valuation of Large Variable Annuity Portfolios: Monte Carlo Simulation and Synthetic DatasetsGuojun Gan0Emiliano A. Valdez1Department of Mathematics, University of Connecticut, 341 Mansfield Road, Storrs, CT 06269-1009, USADepartment of Mathematics, University of Connecticut, 341 Mansfield Road, Storrs, CT 06269-1009, USADynamic hedging has been adopted by many insurance companies to mitigate the financial risks associated with variable annuity guarantees. To simulate the performance of dynamic hedging for variable annuity products, insurance companies rely on nested stochastic projections, which is highly computationally intensive and often prohibitive for large variable annuity portfolios. Metamodeling techniques have recently been proposed to address the computational issues. However, it is difficult for researchers to obtain real datasets from insurance companies to test metamodeling techniques and publish the results in academic journals. In this paper, we create synthetic datasets that can be used for the purpose of addressing the computational issues associated with the nested stochastic valuation of large variable annuity portfolios. The runtime used to create these synthetic datasets would be about three years if a single CPU were used. These datasets are readily available to researchers and practitioners so that they can focus on testing metamodeling techniques.http://www.mdpi.com/2306-5729/3/3/31Monte Carloregime-switching multivariate Black–Scholesmetamodelingvariable annuityportfolio valuation |
| spellingShingle | Guojun Gan Emiliano A. Valdez Nested Stochastic Valuation of Large Variable Annuity Portfolios: Monte Carlo Simulation and Synthetic Datasets Data Monte Carlo regime-switching multivariate Black–Scholes metamodeling variable annuity portfolio valuation |
| title | Nested Stochastic Valuation of Large Variable Annuity Portfolios: Monte Carlo Simulation and Synthetic Datasets |
| title_full | Nested Stochastic Valuation of Large Variable Annuity Portfolios: Monte Carlo Simulation and Synthetic Datasets |
| title_fullStr | Nested Stochastic Valuation of Large Variable Annuity Portfolios: Monte Carlo Simulation and Synthetic Datasets |
| title_full_unstemmed | Nested Stochastic Valuation of Large Variable Annuity Portfolios: Monte Carlo Simulation and Synthetic Datasets |
| title_short | Nested Stochastic Valuation of Large Variable Annuity Portfolios: Monte Carlo Simulation and Synthetic Datasets |
| title_sort | nested stochastic valuation of large variable annuity portfolios monte carlo simulation and synthetic datasets |
| topic | Monte Carlo regime-switching multivariate Black–Scholes metamodeling variable annuity portfolio valuation |
| url | http://www.mdpi.com/2306-5729/3/3/31 |
| work_keys_str_mv | AT guojungan nestedstochasticvaluationoflargevariableannuityportfoliosmontecarlosimulationandsyntheticdatasets AT emilianoavaldez nestedstochasticvaluationoflargevariableannuityportfoliosmontecarlosimulationandsyntheticdatasets |