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  • Search: subject:"Nested Simulations"
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Year of publication
Subject
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Curve Fitting 1 Heston 1 Insurance 1 Least Squares Monte-Carlo 1 Markov chain 1 Markov-Kette 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Nested Simulations 1 Net Asset Value 1 ORSA 1 Option pricing theory 1 Optionspreistheorie 1 Overall Solvency Needs 1 Own Risk and Solvency Assessment 1 Risiko 1 Risk 1 Simulation 1 Solvency II 1 Standard Formula 1 State Space Hidden Markov 1 Stochastic process 1 Stochastischer Prozess 1 Versicherung 1 multi-year solvency 1 nested simulations 1 polynomial proxy 1 risk-neutral valuation 1 robust calibration 1 solvency II 1 solvency ratio 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Alberts, J. S. C. 1 Boer, A. 1 Devineau, Laurent 1 Oosterlee, Cornelis Willebrordus 1 Singor, S. N. 1 Vedani, Julien 1
Institution
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HAL 1
Published in...
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Applied mathematical finance 1 Working Papers / HAL 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
Cover Image
Solvency assessment within the ORSA framework: issues and quantitative methodologies
Vedani, Julien; Devineau, Laurent - HAL - 2012
The implementation of the Own Risk and Solvency Assessment is a critical issue raised by Pillar II of Solvency II framework. In particular the Overall Solvency Needs calculation left the Insurance companies to define an optimal entity-specific solvency constraint on a multi-year time horizon. In...
Persistent link: https://www.econbiz.de/10010899704
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Cover Image
On the modelling of nested risk-neutral stochastic processes with applications in insurance
Singor, S. N.; Boer, A.; Alberts, J. S. C.; Oosterlee, … - In: Applied mathematical finance 24 (2017) 3/4, pp. 302-336
Persistent link: https://www.econbiz.de/10011815235
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