| Description |
xiii, 196 pages : illustrations ; 24 cm. |
|
text txt rdacontent |
|
unmediated n rdamedia |
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volume nc rdacarrier |
| Series |
Financial mathematics series |
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Chapman & Hall/CRC financial mathematics series.
|
| Bibliography |
Includes bibliographical references (pages 189-193) and index. |
| Contents |
Preface -- Preliminaries. Computational problems in variable annuities -- Existing approaches -- Metamodeling approach -- Experimental design methods. Conditional Latin hypercube sampling -- Hierarchical clustering -- Partitional clustering -- Predictive modeling. Ordinary kriging -- Universal kriging -- GB2 regression model -- Spliced regression model -- Neural networks. |
| 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 metamdeling 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. (Publisher's description) |
| Subject |
Variable annuities.
|
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Annuities -- Mathematical models.
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Annuities -- Mathematical models.
(OCoLC)fst00809784
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Variable annuities. (OCoLC)fst01164164
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| Added Author |
Valdez, Emiliano A., author.
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| ISBN |
9780815348580 (hbk.) |
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0815348584 (hbk.) |
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