A sparse grid approach to balance sheet risk measurement

DOI10.1051/PROC/201965236zbMath1417.91548arXiv1811.08706OpenAlexW2901729572WikidataQ128124696 ScholiaQ128124696MaRDI QIDQ4967874

Cyril Bénézet, Camilo Garcia Trillos, Jean-François Chassagneux, Shuoqing Deng, Lionel Lenôtre, Jérémie Bonnefoy

Publication date: 11 July 2019

Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.08706

zbMATH Keywords

insurance companyrisk measurementsparse grid approximationloss distribution of balance sheet

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Numerical interpolation (65D05)

Uses Software

• StOpt
• Stan Math

Cites Work

• Unnamed Item
• On the rate of convergence in Wasserstein distance of the empirical measure
• Interest rate models -- theory and practice. With smile, inflation and credit
• Nested Simulation in Portfolio Risk Measurement
• Sparse grids
• Evaluations of Risk Measures for Different Probability Measures

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