Efficient evaluation of alternative reinsurance strategies using control variates

DOI10.1007/S13385-022-00304-6zbMATH Open1492.91427OpenAlexW4205910140MaRDI QIDQ2157233FDOQ2157233

Authors: Ioannis Kyriakou, A. Tsanakas 

Publication date: 27 July 2022

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/27414/8/ControlVariates.pdf

zbMATH Keywords

control variatesMonte Carlo simulationreinsurance

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

• Reinsurance. Actuarial and statistical aspects
• Title not available (Why is that?)
• Monte Carlo methods and models in finance and insurance.
• Title not available (Why is that?)
• Applications of the central limit theorem for pricing cliquet-style options
• An optimal reinsurance simulation model for non-life insurance in the Solvency II framework
• A guide to Monte Carlo simulation concepts for assessment of risk-return profiles for regulatory purposes

This page was built for publication: Efficient evaluation of alternative reinsurance strategies using control variates

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2157233)