EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Nested Monte Carlo"
Narrow search

Narrow search

Year of publication
Subject
All
Monte Carlo simulation 5 Monte-Carlo-Simulation 5 Portfolio selection 4 Portfolio-Management 4 Neural networks 3 Neuronale Netze 3 Theorie 3 Theory 3 Artificial intelligence 2 Künstliche Intelligenz 2 Option pricing theory 2 Optionspreistheorie 2 Risikomanagement 2 Risk management 2 Simulation 2 dimensionality reduction 2 nested Monte Carlo 2 neural networks 2 replicating portfolios 2 Asset liabilities management 1 Betriebliche Liquidität 1 Corporate liquidity 1 EU-Versicherungsrecht 1 Economic capital 1 European insurance law 1 Forecasting model 1 Insurance 1 Lebensversicherung 1 Life insurance 1 Multilevel Monte-Carlo 1 Nested Monte Carlo 1 Nested Monte-Carlo 1 Prognoseverfahren 1 Replicating portfolios 1 Risikomodell 1 Risk model 1 SCR 1 Schweiz 1 Solvency II 1 Solvency capital 1
more ... less ...
Online availability
All
Undetermined 3 Free 2
Type of publication
All
Article 4 Book / Working Paper 1
Type of publication (narrower categories)
All
Article in journal 4 Aufsatz in Zeitschrift 4 Arbeitspapier 1 Conference paper 1 Graue Literatur 1 Konferenzbeitrag 1 Non-commercial literature 1 Working Paper 1
more ... less ...
Language
All
English 5
Author
All
Fernandez-Arjona, Lucio 3 Filipović, Damir 2 Abbas-Turki, Lokman A. 1 Alfonsi, Aurélien 1 Cherchali, Adel 1 Crépey, Stéphane 1 Diallo, Babacar 1 Infante, Arturo 1
more ... less ...
Published in...
All
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries 1 Insurance / Mathematics & economics 1 International journal of theoretical and applied finance 1 Mathematical finance : an international journal of mathematics, statistics and financial economics 1 Research paper series / Swiss Finance Institute 1 Swiss Finance Institute Research Paper 1
Source
All
ECONIS (ZBW) 5
Showing 1 - 5 of 5
Cover Image
A machine learning approach to portfolio pricing and risk management for high-dimensional problems
Fernandez-Arjona, Lucio; Filipović, Damir - In: Mathematical finance : an international journal of … 32 (2022) 4, pp. 982-1019
Persistent link: https://www.econbiz.de/10013463383
Saved in:
Cover Image
A machine learning approach to portfolio pricing and risk management for high-dimensional problems
Fernandez-Arjona, Lucio; Filipović, Damir - 2020
We present a general framework for portfolio risk management in discrete time, based on a replicating martingale. This martingale is learned from a finite sample in a supervised setting. The model learns the features necessary for an effective low-dimensional representation, overcoming the curse...
Persistent link: https://www.econbiz.de/10012219260
Saved in:
Cover Image
Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests
Alfonsi, Aurélien; Cherchali, Adel; Infante, Arturo - In: Insurance / Mathematics & economics 100 (2021), pp. 234-260
Persistent link: https://www.econbiz.de/10012622391
Saved in:
Cover Image
A neural network model for solvency calculations in life insurance
Fernandez-Arjona, Lucio - In: Annals of actuarial science : publ. by the Institute of … 15 (2021) 2, pp. 259-275
Persistent link: https://www.econbiz.de/10012593579
Saved in:
Cover Image
XVA principles, nested Monte Carlo strategies, and GPU optimizations
Abbas-Turki, Lokman A.; Crépey, Stéphane; Diallo, Babacar - In: International journal of theoretical and applied finance 21 (2018) 6, pp. 1-40
Persistent link: https://www.econbiz.de/10011926570
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...