A computationally appealing methodology for the valuation of large variable annuities portfolios is a metamodelling framework that evaluates a small set of representative contracts, fits a predictive model based on these computed values, and then extrapolates the model to estimate the values of the remaining contracts. This paper proposes a new two-phase procedure for selecting representative contracts. The representatives from the first phase are determined using contract attributes as in existing metamodelling approaches, but those in the second phase are chosen by utilizing the information contained in the values of the representatives from the first phase. Two numerical studies confirm that our two-phase selection procedure improves upon conventional approaches from the existing literature.

用于评估大型可变年金投资组合的一种计算上有吸引力的方法是元建模框架，该框架评估一小组代表性合同，根据这些计算值拟合预测模型，然后推断该模型以估计剩余合同的价值。本文提出了一种新的两阶段选择代表性合同的程序。第一阶段的代表是使用现有元建模方法中的契约属性来确定的，但第二阶段的代表是通过利用第一阶段的代表值中包含的信息来选择的。两项数值研究证实，我们的两阶段选择程序改进了现有文献中的传统方法。