Testing the least-squares Monte Carlo method for the evaluation of capital requirements in life insurance

Massimo Costabile and Fabio Viviano

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.

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Year of publication:	2020
Authors:	Costabile, Massimo ; Viviano, Fabio
Subject:	least squares Monte Carlo \| Solvency capital requirements \| value at risk \| Lebensversicherung \| Life insurance \| Kapitalbedarf \| Capital requirements \| Risikomaß \| Risk measure \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Kleinste-Quadrate-Methode \| Least squares method

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/risks8020048 [DOI] hdl:10419/258002 [Handle]
Classification:	G22 - Insurance; Insurance Companies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012292830