Nested Simulations: Theory and Application

DOI10.1007/978-3-658-43853-1MaRDI QIDQ6193716zbMATH OpenFDO

Authors

Publication date 19 March 2024

Published in Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics (Search for Journal in Brave)

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Central limit and other weak theorems (60F05) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(3)

• Bias-corrected estimation of the density of a conditional expectation in nested simulation problems
• Technical note—Constructing confidence intervals for nested simulation
• \texttt{openIRM}: publicly accessible internal risk model of an artificial life insurer for analyzing and benchmarking actuarial methods in the Solvency II setting

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