On the Calculation of the Solvency Capital Requirement Based on Nested Simulations

DOI10.2143/AST.42.2.2182805zbMath1277.91074OpenAlexW1568363866MaRDI QIDQ2866022

Andreas Reuß, Daniela Singer, Daniel J. Bauer

Publication date: 12 December 2013

Full work available at URL: https://www.actuaries.asn.au/Library/Events/ASTINAFIRERMColloquium/2015/BauerEtAlSolvencyCapitalPaper.pdf

zbMATH Keywords

value at risk Solvency II nested simulations screening procedures

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Bootstrap, jackknife and other resampling methods (62F40) Corporate finance (dividends, real options, etc.) (91G50)

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