The world number one went down 11-7 at the hands of the world champion in a high quality final, in which both players averaged around 105.
van Gerwen had earlier produced a stunning fightback to defeat Raymond van Barneveld in the semi-final.“If you lose you’re never happy. Gary played well and I’ve got nobody to blame but myself,” said 2013 champion van Gerwen, who has topped the table and reached the final in each of the last three seasons.
“I’d just like to congratulate Gary and I’ll look forward to the next tournament.”
van Gerwen broke Anderson’s throw in the opening leg before taking out 61 to double his lead.
The Scotsman bedded tops to get off the mark and went on to win the fourth leg against the throw to square up proceedings.
He then pinned tops to take a third straight leg but van Gerwen took out a brilliant 121 finish to level.
Anderson finished 64 to edge back in front and punished seven missed darts at double by ‘Mighty Mike’ to break and move 5-3 ahead.
The world champion then took out 81 to pull three legs clear and that margin became four when van Gerwen missed two further double attempts.
The world number one took out 72 to break Anderson’s throw before cleaning up 81 to reduce his opponent’s lead to 7-5.
The next four legs were shared before a 96 checkout put Anderson within a leg of victory and he took the following leg to seal an 11-7 triumph.
van Gerwen returns to televised darts action in a week’s time when he bids to defend his Dubai Masters title.