On the Calculation of the Solvency Capital Requirement Based on Nested Simulations
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Publication:2866022
DOI10.2143/AST.42.2.2182805zbMath1277.91074OpenAlexW1568363866MaRDI QIDQ2866022
Andreas Reuß, Daniela Singer, Daniel J. Bauer
Publication date: 12 December 2013
Full work available at URL: https://www.actuaries.asn.au/Library/Events/ASTINAFIRERMColloquium/2015/BauerEtAlSolvencyCapitalPaper.pdf
Parametric tolerance and confidence regions (62F25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Bootstrap, jackknife and other resampling methods (62F40) Corporate finance (dividends, real options, etc.) (91G50)
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