A comonotonicity-based valuation method for guaranteed annuity options.
Xiaoming LiuRogemar S. MamonHuan GaoPublished in: J. Comput. Appl. Math. (2013)
Keyphrases
- detection method
- experimental evaluation
- neural network
- synthetic data
- detection algorithm
- main contribution
- high accuracy
- significant improvement
- evaluation method
- clustering method
- computationally efficient
- classification accuracy
- probabilistic model
- dynamic programming
- computational complexity
- objective function
- computational cost
- support vector machine
- multiresolution
- mutual information
- pairwise
- preprocessing
- similarity measure
- computer vision
- experimental study
- fully automatic
- data sets