4 papers
Deep Least Squares Monte Carlo methods for the valuation of variable annuities with guarantees
Nicolas Langrené, Xiaolin Luo, Pavel V. Shevchenko +1
In general, the pricing of variable annuities with guarantees can be done by solving the corresponding optimal stochastic control problem if the contract withdrawal strategy is ass…
Solving stochastic climate-economy models: A deep least-squares Monte Carlo approach
Aleksandar ArandjeloviÄ, Pavel V. Shevchenko, Tomoko Matsui +2
Stochastic versions of recursive integrated climate-economy assessment models are essential for studying and quantifying policy decisions under uncertainty. However, as the number…
Optimal Investment, Consumption, and Insurance with Durable Goods under Stochastic Depreciation Risk
Aleksandar ArandjeloviÄ, Ryle S. Perera, Pavel V. Shevchenko +2
We study an infinite-horizon optimal investment, consumption and insurance problem for an economic agent who consumes a perishable and a durable good. The agent trades in a risk-fr…
Scenario-based actuarial climate risk assessment via calibration of the DICE model to the shared socioeconomic pathways
Daisuke Murakami, Pavel V. Shevchenko, Tomoko Matsui +2
Accounting for climate-related risks is an emerging problem for life insurers around the world. In this paper, we demonstrate how scenario trajectories for global temperature can b…