Efficient evaluation of alternative reinsurance strategies using control variates

DOI10.1007/S13385-022-00304-6MaRDI QIDQ2157233zbMATH OpenOpenAlexFDO

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

• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 1790424 (Why is no real title available?)
• A guide to Monte Carlo simulation concepts for assessment of risk-return profiles for regulatory purposes
• An optimal reinsurance simulation model for non-life insurance in the Solvency II framework
• Applications of the central limit theorem for pricing cliquet-style options
• Monte Carlo methods and models in finance and insurance.
• Reinsurance. Actuarial and statistical aspects

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