基于树的可变年金估值模型:参数调整与实证分析

IF 1.5 Q3 BUSINESS, FINANCE
Zhiyu Quan, Guojun Gan, Emiliano Valdez
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引用次数: 0

摘要

可变年金因其诱人的保障特性而成为受欢迎的退休和投资工具。尽管如此,管理与担保相关的财务风险对保险公司构成了巨大挑战。其中一个挑战是风险量化,这涉及对担保的频繁估值。保险公司依靠蒙特卡罗模拟进行估值,因为担保过于复杂,无法用封闭形式的公式进行估值。然而,蒙特卡罗模拟计算量很大。在本文中,我们实证地探索了使用基于树的模型来构建担保估值的元模型。我们特别考虑了传统的回归树、树集成和基于无偏递归划分的树。我们将基于树的模型的性能与现有模型(如普通克里格和第二类(GB2)回归的广义beta)的性能进行了比较。我们的研究结果表明,基于树的模型可以有效地产生准确的预测,而梯度增强方法在预测精度方面被认为是最优越的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Tree-based models for variable annuity valuation: parameter tuning and empirical analysis
Variable annuities have become popular retirement and investment vehicles due to their attractive guarantee features. Nonetheless, managing the financial risks associated with the guarantees poses great challenges for insurers. One challenge is risk quantification, which involves frequent valuation of the guarantees. Insurers rely on the use of Monte Carlo simulation for valuation as the guarantees are too complicated to be valued by closed-form formulas. However, Monte Carlo simulation is computationally intensive. In this paper, we empirically explore the use of tree-based models for constructing metamodels for the valuation of the guarantees. In particular, we consider traditional regression trees, tree ensembles, and trees based on unbiased recursive partitioning. We compare the performance of tree-based models to that of existing models such as ordinary kriging and generalised beta of the second kind (GB2) regression. Our results show that tree-based models are efficient in producing accurate predictions and the gradient boosting method is considered the most superior in terms of prediction accuracy.
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CiteScore
3.10
自引率
5.90%
发文量
22
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