Efficient risk estimation via nested sequential simulation
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(50)- Calculation of credit valuation adjustment based on least square Monte Carlo methods
- Capturing deep tail risk via sequential learning of quantile dynamics
- Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo
- An efficient estimation of nested expectations without conditional sampling
- Efficient estimation of a risk measure requiring two-stage simulation optimization
- Sample recycling method -- a new approach to efficient nested Monte Carlo simulations
- Green nested simulation via likelihood ratio: applications to longevity risk management
- Multilevel Monte Carlo for computing the SCR with the standard formula and other stress tests
- Decision-making under uncertainty: using MLMC for efficient estimation of EVPPI
- Valuation of large variable annuity portfolios under nested simulation: a functional data approach
- Efficient randomized quasi-Monte Carlo methods for portfolio market risk
- Estimating the density of a conditional expectation
- Two-stage nested simulation of tail risk measurement: a likelihood ratio approach
- Risk estimation via regression
- Variance reduction techniques for nested simulation in measuring portfolio's risk
- Estimating residual hedging risk with least-squares Monte Carlo
- Sequential design and spatial modeling for portfolio tail risk measurement
- Statistical emulators for pricing and hedging longevity risk products
- Online Risk Monitoring Using Offline Simulation
- Kernel smoothing for nested estimation with application to portfolio risk measurement
- MLMC for nested expectations
- Efficient exposure computation by risk factor decomposition
- Computation of expected shortfall by fast detection of worst scenarios
- Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach
- Technical Note—Bootstrap-based Budget Allocation for Nested Simulation
- Adaptive multilevel Monte Carlo for probabilities
- Multilevel Monte Carlo estimation of the expected value of sample information
- An Efficient Morris Method-Based Framework for Simulation Factor Screening
- Efficient nested simulation for conditional tail expectation of variable annuities
- Efficient simulation designs for valuation of large variable annuity portfolios
- Stochastic kriging with biased sample estimates
- Multilevel nested simulation for efficient risk estimation
- Simulation-based Value-at-Risk for nonlinear portfolios
- Computing Bayesian means using simulation
- Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
- Technical note—Constructing confidence intervals for nested simulation
- Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement
- Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models
- Computation of conditional expectations with guarantees
- Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework
- Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models
- Fast remote but not extreme quantiles with multiple factors: applications to Solvency II and enterprise risk management
- Economic Representative Scenarios for Variable Annuity Dynamic Hedging of GMMB and GMDB
- Machine learning techniques in nested stochastic simulations for life insurance
- Risk quantification in stochastic simulation under input uncertainty
- Transformers-based least square Monte Carlo for solvency calculation in life insurance
- MLMC techniques for discontinuous functions
- Explainable Least Square Monte Carlo for Solvency Capital Requirement Evaluation
- \texttt{openIRM}: publicly accessible internal risk model of an artificial life insurer for analyzing and benchmarking actuarial methods in the Solvency II setting
- Optimized multi-level Monte Carlo parametrization and antithetic sampling for nested simulations
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