Efficient nested simulation for conditional tail expectation of variable annuities
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Cites work
- A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method
- A Regime-Switching Model of Long-Term Stock Returns
- A Unified View of the IPA, SF, and LR Gradient Estimation Techniques
- A confidence interval procedure for expected shortfall risk measurement via two-level simulation
- A synthesis of risk measures for capital adequacy
- Application of data clustering and machine learning in variable annuity valuation
- Coherent measures of risk
- Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach
- Efficient risk estimation via nested sequential simulation
- Estimating Security Price Derivatives Using Simulation
- Generalized autoregressive conditional heteroscedasticity
- Investment guarantees: Modeling and risk management for equity-linked life insurance
- Nested simulation in portfolio risk measurement
- On the calculation of the solvency capital requirement based on nested simulations
- Pricing and hedging variable annuity guarantees with multiasset stochastic investment models
- Risk estimation via regression
- THE GARCH OPTION PRICING MODEL
- Valuation of large variable annuity portfolios under nested simulation: a functional data approach
Cited in
(11)- Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach
- Variable annuity pricing, valuation, and risk management: a survey
- Explainable Least Square Monte Carlo for Solvency Capital Requirement Evaluation
- Fast and efficient nested simulation for large variable annuity portfolios: a surrogate modeling approach
- Sample recycling method -- a new approach to efficient nested Monte Carlo simulations
- Nested Simulations: Theory and Application
- Tweedie multivariate semi-parametric credibility with the exchangeable correlation
- Efficient nested simulation for estimating the variance of a conditional expectation
- Green nested simulation via likelihood ratio: applications to longevity risk management
- Two-stage nested simulation of tail risk measurement: a likelihood ratio approach
- Economic Representative Scenarios for Variable Annuity Dynamic Hedging of GMMB and GMDB
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