Guojun Gan

University of Connecticut

341 Mansfield Rd, U-1009

Storrs, CT 06269-1009

United States

SCHOLARLY PAPERS

9

DOWNLOADS

342

CITATIONS

2

Scholarly Papers (9)

1.

Regression Modeling for the Valuation of Large Variable Annuity Portfolios

Number of pages: 25 Posted: 11 Aug 2016
Guojun Gan and Emiliano A. Valdez
University of Connecticut and University of Connecticut - Department of Mathematics
Downloads 84 (294,438)

Abstract:

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Variable annuities, Portfolio valuation, GB2, Kriging, Multi-stage optimization

2.

Valuation of Large Variable Annuity Portfolios: Monte Carlo Simulation and Benchmark Datasets

Number of pages: 28 Posted: 02 May 2017
Guojun Gan and Emiliano A. Valdez
University of Connecticut and University of Connecticut - Department of Mathematics
Downloads 49 (389,281)

Abstract:

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Variable annuities, Monte Carlo simulation, metamodeling, benchmark datasets

3.

Tree-Based Models for the Efficient Valuation of Large Variable Annuity Portfolios

Number of pages: 32 Posted: 28 Sep 2018
Zhiyu Quan, Guojun Gan and Emiliano A. Valdez
University of Connecticut - Department of Mathematics, University of Connecticut and University of Connecticut - Department of Mathematics
Downloads 43 (410,524)

Abstract:

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variable annuity, portfolio valuation, metamodeling, tree-based models

4.

Fat-Tailed Regression Modeling with Spliced Distributions

Number of pages: 27 Posted: 18 Sep 2017
Guojun Gan and Emiliano A. Valdez
University of Connecticut and University of Connecticut - Department of Mathematics
Downloads 36 (438,023)

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Frequency-Severity Models, Spliced Distributions, Tweedie Distributions, Heterogeneity, Multi-Stage Optimization

5.

Data Clustering With Actuarial Applications

North American Actuarial Journal, 2019
Number of pages: 27 Posted: 07 Feb 2019
Guojun Gan and Emiliano A. Valdez
University of Connecticut and University of Connecticut - Department of Mathematics
Downloads 35 (442,213)

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data clustering; partitional algorithm; hierarchical algorithm; variable annuity; portfolio valuation

6.

Unlocking Reserve Assumptions Based on the Retrospective Loss Random Variable

Number of pages: 23 Posted: 17 May 2016 Last Revised: 28 Aug 2016
Willis Towers Watson, University of Connecticut - Department of Mathematics, University of Connecticut - Department of Mathematics and University of Connecticut
Downloads 33 (450,679)

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Life Insurance Reserves, Prospective and Retrospective Loss Random Variables, Emerging Mortality Experience, Unlocking Assumptions

7.

An Empirical Comparison of Some Experimental Designs for the Valuation of Large Variable Annuity Portfolios

Number of pages: 19 Posted: 29 Aug 2016
Guojun Gan and Emiliano A. Valdez
University of Connecticut and University of Connecticut - Department of Mathematics
Downloads 30 (464,572)

Abstract:

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Variable annuity, Portfolio valuation, Metamodeling, Generalized beta of the second kind (GB2), Multivariate experimental design, Data clustering, Latin hypercube

8.

Modeling Partial Greeks of Variable Annuities with Dependence

Number of pages: 30 Posted: 28 Sep 2016 Last Revised: 30 Sep 2016
Guojun Gan and Emiliano A. Valdez
University of Connecticut and University of Connecticut - Department of Mathematics
Downloads 27 (479,452)

Abstract:

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Variable annuity, Portfolio valuation, Metamodeling, Gamma distribution, Copula

9.

Valuation of Large Variable Annuity Portfolios with Rank Order Kriging

North American Actuarial Journal, Forthcoming
Number of pages: 26 Posted: 30 May 2019
Guojun Gan and Emiliano A. Valdez
University of Connecticut and University of Connecticut - Department of Mathematics
Downloads 5 (610,687)

Abstract:

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variable annuity, portfolio valuation, rank order kriging, ordinary kriging, GB2