Inside the Solvency 2 black box: net asset values and solvency capital requirements with a least-squares Monte-Carlo approach
DOI10.1016/J.INSMATHECO.2016.07.005zbMATH Open1371.91088MaRDI QIDQ2374093FDOQ2374093
Authors: Anthony Floryszczak, Olivier Le Courtois, Mohamed Majri 
Publication date: 14 December 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Recommendations
- On the calculation of the solvency capital requirement based on nested simulations
- A least-squares Monte Carlo approach to the estimation of enterprise risk
- Valuation of contingent guarantees using least-squares Monte Carlo
- Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk
- The difference between LSMC and replicating portfolio in insurance liability modeling
order statisticsSolvency 2least-squares Monte Carlosolvency capital requirementparticipating contractnet asset value
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- Title not available (Why is that?)
- An analysis of a least squares regression method for American option pricing
- On the calculation of the solvency capital requirement based on nested simulations
- Regression-based algorithms for life insurance contracts with surrender guarantees
- Pricing life insurance contracts with early exercise features
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
- Modeling surrender and lapse rates with economic variables
- Title not available (Why is that?)
- On improving the least squares Monte Carlo option valuation method
- Convergence rates of orthogonal series regression estimators
Cited In (16)
- A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula
- Application of Bayesian penalized spline regression for internal modeling in life insurance
- Credit risk and solvency capital requirements
- Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach
- Risk management with local least squares Monte Carlo
- Machine learning techniques in nested stochastic simulations for life insurance
- Robust evaluation of SCR for participating life insurances under Solvency II
- Multilevel Monte Carlo for computing the SCR with the standard formula and other stress tests
- Neural networks meet least squares Monte Carlo at internal model data
- TEST FOR CHANGES IN THE MODELED SOLVENCY CAPITAL REQUIREMENT OF AN INTERNAL RISK MODEL
- A least-squares Monte Carlo approach to the estimation of enterprise risk
- Sensitivity analysis with \(\chi^2\)-divergences
- On the calculation of the solvency capital requirement based on nested simulations
- An efficient algorithm for the calculation of reserves for non-unit linked life policies
- A semi-supervised learning approach for variance reduction in life insurance
- Economic scenario generators: a risk management tool for insurance
This page was built for publication: Inside the Solvency 2 black box: net asset values and solvency capital requirements with a least-squares Monte-Carlo approach
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2374093)
