ResPoNet: A Residual Neural Network for Efficient Valuation of Large Variable Annuity Portfolios
Bibliographic record
Abstract
Accurately valuing large portfolios of Variable Annuities (VAs) poses a significant challenge due to the high computational burden of Monte Carlo simulations and the limitations of spatial interpolation methods that rely on manually defined distance metrics. We introduce a residual portfolio valuation network (ResPoNet), a novel residual neural network architecture enhanced with weighted loss functions, designed to improve valuation accuracy and scalability. ResPoNet systematically accounts for mortality risk and path-dependent liabilities using residual layers, while the custom loss function ensures better convergence and interpretability. Numerical results on synthetic portfolios of 100,000 contracts show that ResPoNet achieves significantly lower valuation errors than baseline neural and spatial methods, with faster convergence and improved generalization. Sensitivity analysis reveals key drivers of performance, including guarantee complexity and contract maturity, demonstrating the robustness and practical applicability of ResPoNet in large-scale VA valuation.
Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.
How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.005 | 0.001 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".