Search Results for author: Aleksandar Arandjelović

Found 2 papers, 1 papers with code

Life cycle insurance, bequest motives and annuity loads

no code implementations10 Oct 2023 Aleksandar Arandjelović, Geoffrey Kingston, Pavel V. Shevchenko

A key finding of the literature is that the demand for life insurance and the demand for life annuities are symmetrical.

Importance sampling for option pricing with feedforward neural networks

1 code implementation28 Dec 2021 Aleksandar Arandjelović, Thorsten Rheinländer, Pavel V. Shevchenko

We study the problem of reducing the variance of Monte Carlo estimators through performing suitable changes of the sampling measure which are induced by feedforward neural networks.

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