Krah, Anne-Sophie; Nikolić, Zoran; Korn, Ralf - In: Risks : open access journal 8 (2020) 1/21, pp. 1-79
Under the Solvency II regime, life insurance companies are asked to derive their solvency capital requirements from the full loss distributions over the coming year. Since the industry is currently far from being endowed with sufficient computational capacities to fully simulate these...