Optimized multi-level Monte Carlo parametrization and antithetic sampling for nested simulations
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Cites work
- A least-squares Monte Carlo approach to the estimation of enterprise risk
- A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula
- Economic scenario generators: a risk management tool for insurance
- Efficient risk estimation via nested sequential simulation
- How many inner simulations to compute conditional expectations with least-square Monte Carlo?
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- Inside the Solvency 2 black box: net asset values and solvency capital requirements with a least-squares Monte-Carlo approach
- Limit theorems for weighted and regular multilevel estimators
- Machine learning techniques in nested stochastic simulations for life insurance
- Multilevel Monte Carlo approximation of functions
- Multilevel Monte Carlo methods
- Multilevel Monte Carlo Path Simulation
- Multilevel nested simulation for efficient risk estimation
- Multilevel Richardson-Romberg extrapolation
- Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives
- Nested simulation in portfolio risk measurement
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- On the calculation of the solvency capital requirement based on nested simulations
- Replicating portfolio approach to capital calculation
- The standard formula of Solvency II: a critical discussion
- Transformers-based least square Monte Carlo for solvency calculation in life insurance
- Weak error for nested multilevel Monte Carlo
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