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.
- Language
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Englisch
- Bibliographic citation
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 8 ; Year: 2020 ; Issue: 2 ; Pages: 1-13 ; Basel: MDPI
- Classification
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Wirtschaft
Insurance; Insurance Companies; Actuarial Studies
- Subject
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least squares Monte Carlo
Solvency capital requirements
value at risk
Lebensversicherung
Kapitalbedarf
Risikomaß
Monte-Carlo-Simulation
Kleinste-Quadrate-Methode
- Event
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Geistige Schöpfung
- (who)
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Costabile, Massimo
Viviano, Fabio
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2020
- DOI
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doi:10.3390/risks8020048
- Handle
- Last update
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10.03.2025, 11:41 AM CET
Data provider
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Object type
- Artikel
Associated
- Costabile, Massimo
- Viviano, Fabio
- MDPI
Time of origin
- 2020
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Unbiased least-squares modification of Stokes’ formula
Least-Squares Monte Carlo for proxy modeling in life insurance: Neural networks
Least-squares collocation and the gravitational inverse problem
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