Krah, Anne-Sophie; Nikolić, Zoran; Korn, Ralf - In: Risks : open access journal 8 (2020) 4/116, pp. 1-21
The least-squares Monte Carlo method has proved to be a suitable approximation technique for the calculation of a life insurer's solvency capital requirements. We suggest to enhance it by the use of a neural network based approach to construct the proxy function that models the insurer's loss...