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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,742 papers · 148 categories

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0111 · Jun 202019922001200920172026
3 results for “GMMB”
Risk management of guaranteed minimum maturity benefits under stochastic mortality and regime-switching by Fourier space time-stepping frameworkq-fin.PR

Paper assesses GMMB in VAs using FST for accurate net liability calculations.

problem Risk management of GMMB under stochastic mortality and regime-switching.
method Net liability model with FST algorithm for accurate numeric solutions.
result FST algorithm provides reliable results for net liability of GMMB.
GMMBVariable AnnuityStochastic MortalityRegime-SwitchingFourier Space Time-stepping
2020-06-28abs ↗pdf ↗
Pseudo-Model-Free Hedging for Variable Annuities via Deep Reinforcement Learningq-fin.RM

Paper proposes a deep RL method for hedging variable annuities, outperforming misspecified models.

problem Model miscalibration in variable annuity contracts with GMMB and GMDB riders.
method Two-phase deep reinforcement learning approach: training phase in a controlled environment, online learning phase in real market.
result Trained reinforcement learning agent hedges equally well as correct Delta in training phase and outperforms misspecified Deltas.
deep reinforcement learningvariable annuitieshedgingmodel miscalibrationGMMB
2021-07-07abs ↗pdf ↗