On the calculation of the solvency capital requirement based on nested simulations
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Publication:2866022
Point estimation (62F10) Bootstrap, jackknife and other resampling methods (62F40) Parametric tolerance and confidence regions (62F25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Probabilistic models, generic numerical methods in probability and statistics (65C20) Corporate finance (dividends, real options, etc.) (91G50)
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