Artikel
Testing the least-squares Monte Carlo method for the evaluation of capital requirements in life insurance
In this paper, we test the efficiency of least-squares Monte Carlo method to estimate capital requirements in life insurance. We choose a simplified Gaussian evaluation framework where closed-form formulas are available and allow us to obtain solid benchmarks. Extensive numerical experiments were conducted by considering different combinations of simulation runs and basis functions, and the corresponding results are illustrated.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Risks ; ISSN: 2227-9091 ; Volume: 8 ; Year: 2020 ; Issue: 2 ; Pages: 1-13 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
Insurance; Insurance Companies; Actuarial Studies
- Thema
-
least squares Monte Carlo
Solvency capital requirements
value at risk
Lebensversicherung
Kapitalbedarf
Risikomaß
Monte-Carlo-Simulation
Kleinste-Quadrate-Methode
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Costabile, Massimo
Viviano, Fabio
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2020
- DOI
-
doi:10.3390/risks8020048
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Costabile, Massimo
- Viviano, Fabio
- MDPI
Entstanden
- 2020
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