Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests
Aurélien Alfonsi, Adel Cherchali, Jose Arturo Infante Acevedo
| Year of publication: |
2021
|
|---|---|
| Authors: | Alfonsi, Aurélien ; Cherchali, Adel ; Infante, Arturo |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 100.2021, p. 234-260
|
| Subject: | Asset liabilities management | Multilevel Monte-Carlo | Nested Monte-Carlo | SCR | Stress tests | Monte-Carlo-Simulation | Monte Carlo simulation | Stresstest | Stress test | Theorie | Theory | Portfolio-Management | Portfolio selection | Simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2021.05.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012622391