A multi-asset monte carlo simulation model for the valuation of variable annuities.
Guojun GanPublished in: WSC (2015)
Keyphrases
- monte carlo
- simulation model
- simulation models
- discrete event
- agent based simulation
- monte carlo simulation
- monte carlo methods
- importance sampling
- markov chain
- monte carlo tree search
- particle filter
- mathematical model
- simulation tool
- markovian decision
- adaptive sampling
- matrix inversion
- monte carlo method
- variance reduction
- temporal difference
- global illumination
- optimal strategy
- markov chain monte carlo
- stochastic approximation
- simulation environment
- search algorithm
- point processes
- conditional density estimation
- quasi monte carlo