Statistical Models Commons^™

Bias-Corrected Bagging In Active Learning With An Actuarial Application, Yangxuan Xu

Undergraduate Student Research Internships Conference

The variable annuity (VA) is a modern insurance product that offers certain guaranteed protection and tax-deferred treatment. Because of the inherent complexity of guarantees’ payoff, the closed-form solution of fair market values (FMVs) is often not available. Most insurance companies depend on Monte Carlo (MC) simulation to price the FMVs of these products, which is an extremely computational intensive and time-consuming approach. The metamodeling approach can be used to circumvent the heavy computation.

In the modeling stage, the bagged tree method has proved to outperform other parametric approaches. Also, a bias-corrected (BC) bagging model was tried and showed significant improvement …