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.

MoreLess

Year of publication:	2020
Authors:	Costabile, Massimo ; Viviano, Fabio
Published in:	Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 8.2020, 2, p. 1-13
Publisher:	Basel : MDPI
Subject:	Lebensversicherung \| Kapitalbedarf \| Risikomaß \| Monte-Carlo-Simulation \| Kleinste-Quadrate-Methode \| least squares Monte Carlo \| Solvency capital requirements \| value at risk

freely available

Full text |

More access options

doi.org

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/risks8020048 [DOI] 173515640X [GVK] hdl:10419/258002 [Handle]
Classification:	G22 - Insurance; Insurance Companies
Source:	EconStor

Persistent link: https://www.econbiz.de/10013200582