Inside the Solvency 2 black box: net asset values and solvency capital requirements with a least-squares Monte-Carlo approach
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Publication:2374093
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Cites work
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- An analysis of a least squares regression method for American option pricing
- Convergence rates of orthogonal series regression estimators
- scientific article; zbMATH DE number 46153 (Why is no real title available?)
- scientific article; zbMATH DE number 2243117 (Why is no real title available?)
- Modeling surrender and lapse rates with economic variables
- On improving the least squares Monte Carlo option valuation method
- On the calculation of the solvency capital requirement based on nested simulations
- Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
- Pricing life insurance contracts with early exercise features
- Regression-based algorithms for life insurance contracts with surrender guarantees
- Valuation of the early-exercise price for options using simulations and nonparametric regression
Cited in
(21)- Robust evaluation of SCR for participating life insurances under Solvency II
- Economic scenario generators: a risk management tool for insurance
- 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
- Multilevel Monte Carlo for computing the SCR with the standard formula and other stress tests
- Sensitivity analysis with ^2-divergences
- Credit risk and solvency capital requirements
- Application of Bayesian penalized spline regression for internal modeling in life insurance
- 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
- Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach
- TEST FOR CHANGES IN THE MODELED SOLVENCY CAPITAL REQUIREMENT OF AN INTERNAL RISK MODEL
- Neural networks meet least squares Monte Carlo at internal model data
- A semi-supervised learning approach for variance reduction in life insurance
- Risk management with local least squares Monte Carlo
- Machine learning techniques in nested stochastic simulations for life insurance
- An undertaking specific approach to address diversifiable demographic risk within solvency II framework
- Transformers-based least square Monte Carlo for solvency calculation in life insurance
- Explainable Least Square Monte Carlo for Solvency Capital Requirement Evaluation
- \texttt{openIRM}: publicly accessible internal risk model of an artificial life insurer for analyzing and benchmarking actuarial methods in the Solvency II setting
- Optimized multi-level Monte Carlo parametrization and antithetic sampling for nested simulations
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