Speaker:  Dr. Kai Liu, School of Mathematical and Computational Sciences (SMCS)

Title: Real-time Valuation of Large Variable Annuity Portfolios: A Green Mesh Approach

Abstract: The valuation of large variable annuities (VAs) portfolio is an important problem of interest, not only because of its practical relevance but also of its theoretical significance. This is prompted by the phenomenon that many existing sophisticated algorithms are typically efficient at valuing a single VA policy but they are not scalable to valuing large VAs portfolio consisting of hundreds of thousands of policies. As a result, this sparks a new line of research direction exploiting machine learning methods on providing more efficient algorithms to estimate the market values and sensitivities of the large VAs portfolio.