{"id":"https://openalex.org/W4245610018","doi":"https://doi.org/10.1109/wsc.2015.7408450","title":"A multi-asset Monte Carlo simulation model for the valuation of variable annuities","display_name":"A multi-asset Monte Carlo simulation model for the valuation of variable annuities","publication_year":2015,"publication_date":"2015-12-01","ids":{"openalex":"https://openalex.org/W4245610018","doi":"https://doi.org/10.1109/wsc.2015.7408450"},"language":"en","primary_location":{"id":"doi:10.1109/wsc.2015.7408450","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2015.7408450","pdf_url":null,"source":{"id":"https://openalex.org/S4363607791","display_name":"2015 Winter Simulation Conference (WSC)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2015 Winter Simulation Conference (WSC)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5000062069","display_name":"Guojun Gan","orcid":"https://orcid.org/0000-0003-3285-7116"},"institutions":[{"id":"https://openalex.org/I55732556","display_name":"Arizona State University","ror":"https://ror.org/03efmqc40","country_code":"US","type":"education","lineage":["https://openalex.org/I55732556"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Guojun Gan","raw_affiliation_strings":["Electrical Engineering Department, Arizona State University, Tempe, USA"],"affiliations":[{"raw_affiliation_string":"Electrical Engineering Department, Arizona State University, Tempe, USA","institution_ids":["https://openalex.org/I55732556"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5000062069"],"corresponding_institution_ids":["https://openalex.org/I55732556"],"apc_list":null,"apc_paid":null,"fwci":44.3571,"has_fulltext":false,"cited_by_count":14,"citation_normalized_percentile":{"value":0.99029126,"is_in_top_1_percent":true,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":null,"issue":null,"first_page":"3162","last_page":"3163"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9991000294685364,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9991000294685364,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T14509","display_name":"demographic modeling and climate adaptation","score":0.9894000291824341,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12394","display_name":"Insurance and Financial Risk Management","score":0.9559999704360962,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/annuity","display_name":"Annuity","score":0.7653545141220093},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.7464656233787537},{"id":"https://openalex.org/keywords/valuation","display_name":"Valuation (finance)","score":0.6986809372901917},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6611565351486206},{"id":"https://openalex.org/keywords/variable","display_name":"Variable (mathematics)","score":0.6053798794746399},{"id":"https://openalex.org/keywords/software","display_name":"Software","score":0.4248132109642029},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.40915462374687195},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.3659968972206116},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.33318763971328735},{"id":"https://openalex.org/keywords/life-annuity","display_name":"Life annuity","score":0.260938823223114},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.23094141483306885},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.22764652967453003},{"id":"https://openalex.org/keywords/pension","display_name":"Pension","score":0.14275777339935303},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.14167049527168274},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.08359798789024353},{"id":"https://openalex.org/keywords/operating-system","display_name":"Operating system","score":0.07832890748977661}],"concepts":[{"id":"https://openalex.org/C44465351","wikidata":"https://www.wikidata.org/wiki/Q215579","display_name":"Annuity","level":4,"score":0.7653545141220093},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.7464656233787537},{"id":"https://openalex.org/C186027771","wikidata":"https://www.wikidata.org/wiki/Q4008379","display_name":"Valuation (finance)","level":2,"score":0.6986809372901917},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6611565351486206},{"id":"https://openalex.org/C182365436","wikidata":"https://www.wikidata.org/wiki/Q50701","display_name":"Variable (mathematics)","level":2,"score":0.6053798794746399},{"id":"https://openalex.org/C2777904410","wikidata":"https://www.wikidata.org/wiki/Q7397","display_name":"Software","level":2,"score":0.4248132109642029},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.40915462374687195},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3659968972206116},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.33318763971328735},{"id":"https://openalex.org/C76485209","wikidata":"https://www.wikidata.org/wiki/Q2510714","display_name":"Life annuity","level":3,"score":0.260938823223114},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.23094141483306885},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.22764652967453003},{"id":"https://openalex.org/C2780899237","wikidata":"https://www.wikidata.org/wiki/Q156223","display_name":"Pension","level":2,"score":0.14275777339935303},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.14167049527168274},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.08359798789024353},{"id":"https://openalex.org/C111919701","wikidata":"https://www.wikidata.org/wiki/Q9135","display_name":"Operating system","level":1,"score":0.07832890748977661},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/wsc.2015.7408450","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2015.7408450","pdf_url":null,"source":{"id":"https://openalex.org/S4363607791","display_name":"2015 Winter Simulation Conference (WSC)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2015 Winter Simulation Conference (WSC)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.4099999964237213,"display_name":"Industry, innovation and infrastructure","id":"https://metadata.un.org/sdg/9"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":8,"referenced_works":["https://openalex.org/W2057330883","https://openalex.org/W2074007783","https://openalex.org/W2171646358","https://openalex.org/W2243018588","https://openalex.org/W3124325485","https://openalex.org/W3125549559","https://openalex.org/W3126010459","https://openalex.org/W6605181263"],"related_works":["https://openalex.org/W4231276745","https://openalex.org/W4255870838","https://openalex.org/W3121822376","https://openalex.org/W3124454045","https://openalex.org/W2259826886","https://openalex.org/W3121194216","https://openalex.org/W2948775563","https://openalex.org/W2604581892","https://openalex.org/W4234862719","https://openalex.org/W1607261320"],"abstract_inverted_index":{"A":[0],"variable":[1,50,70,135],"annuity":[2,51,136],"is":[3,52,94],"an":[4],"insurance":[5],"contract":[6],"that":[7,99],"contains":[8],"financial":[9],"guarantees.":[10,28,43],"Due":[11],"to":[12,22,37,58,63,69,127],"the":[13,24,39,42,65,97,102,110,129,134],"complexity":[14],"of":[15,26,41],"guarantees,":[16],"there":[17],"are":[18],"no":[19],"closed-form":[20],"formulas":[21],"calculate":[23,38],"value":[25,40],"these":[27],"Insurance":[29],"companies":[30],"rely":[31],"heavily":[32],"on":[33],"Monte":[34,79],"Carlo":[35,80],"simulation":[36,47,81,92,111],"However,":[44],"almost":[45],"all":[46],"software":[48],"for":[49],"proprietary,":[53],"posing":[54],"a":[55,77],"substantial":[56],"barrier":[57],"academic":[59],"researchers":[60,126],"who":[61],"want":[62],"study":[64],"computational":[66,130],"problems":[67,131],"related":[68],"annuity.":[71],"In":[72],"this":[73],"paper,":[74],"we":[75],"present":[76],"multi-asset":[78],"model":[82,93,112],"by":[83,123],"using":[84],"fund":[85],"mappings":[86],"and":[87,125],"economic":[88],"scenario":[89],"generators.":[90],"The":[91],"realistic":[95],"in":[96,105,113],"sense":[98],"it":[100],"reflects":[101],"current":[103],"practice":[104],"industry.":[106],"We":[107],"also":[108],"implement":[109],"Java":[114],"as":[115],"open":[116],"source":[117],"software,":[118],"which":[119],"can":[120],"be":[121],"used":[122],"students":[124],"investigate":[128],"arising":[132],"from":[133],"area.":[137]},"counts_by_year":[{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2017,"cited_by_count":6},{"year":2016,"cited_by_count":6}],"updated_date":"2026-03-25T13:04:00.132906","created_date":"2025-10-10T00:00:00"}