Inside the solvency 2 black box : net asset balues and solvency vapital requirements with a least-squares Monte-Carlo approach
Anthony Floryszczak, Olivier Le Courtois, Mohamed Majri
| Year of publication: |
November 2016
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| Authors: | Floryszczak, Anthony ; Le Courtois, Olivier ; Majri, Mohamed |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 71.2016, p. 15-26
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| Subject: | Net Asset Value | Solvency Capital Requirement | Solvency 2 | Least-squares Monte Carlo | Order statistics | Participating contract | Monte-Carlo-Simulation | Monte Carlo simulation | EU-Versicherungsrecht | European insurance law | Betriebliche Liquidität | Corporate liquidity | Theorie | Theory | Kleinste-Quadrate-Methode | Least squares method | Versicherung | Insurance | Basler Akkord | Basel Accord |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.07.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011630591