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Testing the Least-Squares Monte Carlo Method for the Evaluation of Capital Requirements in Life Insurance

Costabile, Massimo
•
Viviano, Fabio
2020
  • journal article

Periodico
RISKS
Abstract
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.
DOI
10.3390/risks8020048
Archivio
http://hdl.handle.net/11390/1187835
info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-85085899086
Diritti
open access
Soggetti
  • Least Squares Monte C...

  • Solvency Capital Requ...

  • Value At Risk

Scopus© citazioni
1
Data di acquisizione
Jun 14, 2022
Vedi dettagli
Web of Science© citazioni
2
Data di acquisizione
Mar 26, 2024
Visualizzazioni
2
Data di acquisizione
Apr 19, 2024
Vedi dettagli
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