R package clhs. Conditioned Latin hypercube sampling, as published by Minasny and McBratney (2006) <<a href=”http://dx.doi.org/10.1016/j.cageo.2005.12.009”>doi:10.1016/j.cageo.2005.12.009</a>>. This method proposes to stratify sampling in presence of ancillary data. An extension of this method, which propose to associate a cost to each individual and take it into account during the optimisation process, is also proposed (Roudier et al., 2012, <<a href=”http://dx.doi.org/10.1201/b12728-46”>doi:10.1201/b12728-46</a>>).
Keywords for this software
References in zbMATH (referenced in 4 articles )
Showing results 1 to 4 of 4.
- Gweon, Hyukjun; Li, Shu; Mamon, Rogemar: An effective bias-corrected bagging method for the valuation of large variable annuity portfolios (2020)
- Gan, Guojun; Valdez, Emiliano A.: Regression modeling for the valuation of large variable annuity portfolios (2018)
- Gan, Guojun; Lin, X. Sheldon: Efficient Greek calculation of variable annuity portfolios for dynamic hedging: a two-level metamodeling approach (2017)
- Gan, Guojun; Valdez, Emiliano A.: An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios (2016)