Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach

Monte Carlo methods (65C05) Actuarial mathematics (91G05) Numerical methods (including Monte Carlo methods) (91G60) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75) Stochastic models in economics (91B70)

Cites Work

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Application of data clustering and machine learning in variable annuity valuation
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Cited In (2)

Variable annuity pricing, valuation, and risk management: a survey
Sample recycling method -- a new approach to efficient nested Monte Carlo simulations

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