Metamodeling for Variable Annuities by Gan Guojun; Valdez Emiliano A.;
Author:Gan, Guojun; Valdez, Emiliano A.;
Language: eng
Format: epub
Publisher: CRC Press LLC
Published: 2020-07-15T00:00:00+00:00
The name of the ordinary kriging function is okrig. The function has four arguments as explained in the comments. In the above implementation, we assume that the policies are represented by numerical vectors. Categorical variables are converted to binary dummy variables and numerical variables are normalized appropriately. Vectorization is used to speed up the distance calculations.
The second main function is created as follows:
The name of the function is fitVarModel. It can be used to fit a variogram model to a given dataset. This function also has four arguments, which are explained in the comments. The R function nls is used to fit a variogram model to the empirical variogram.
The following R functions implement three theoretical variogram models:
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Biomathematics | Differential Equations |
Game Theory | Graph Theory |
Linear Programming | Probability & Statistics |
Statistics | Stochastic Modeling |
Vector Analysis |
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