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Search: subject:"Nested simulation"
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Simulation
18
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11
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11
Monte Carlo simulation
10
Monte-Carlo-Simulation
10
nested simulation
10
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6
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Feng, Mingbin
3
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3
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3
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3
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2
Hardy, Mary Rosalyn
2
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2
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2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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Insurance / Mathematics & economics
5
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2
The journal of computational finance
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
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ECONIS (ZBW)
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RePEc
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11
Nested Monte Carlo simulation in financial reporting : a review and a new hybrid approach
Li, Peng
;
Feng, Runhuan
- In:
Scandinavian actuarial journal
2021
(
2021
)
9
,
pp. 744-778
Persistent link: https://www.econbiz.de/10012653687
Saved in:
12
Non-nested estimators for the central moments of a conditional expectation and their convergence properties
Cheng, Hong-Fa
;
Zhang, Kun
- In:
Operations research letters
49
(
2021
)
5
,
pp. 625-632
Persistent link: https://www.econbiz.de/10013207415
Saved in:
13
Fast and efficient
nested
simulation
for large variable annuity portfolios : a surrogate modeling approach
Lin, X. Sheldon
;
Yang, Shuai
- In:
Insurance / Mathematics & economics
91
(
2020
),
pp. 85-103
Persistent link: https://www.econbiz.de/10012241991
Saved in:
14
Efficient dynamic hedging for large variable annuity portfolios with multiple underlying assets
Lin, X. Sheldon
;
Yang, Shuai
- In:
ASTIN bulletin : the journal of the International …
50
(
2020
)
3
,
pp. 913-957
Persistent link: https://www.econbiz.de/10012307390
Saved in:
15
Effect of risk preference on the valuation of time charter contracts with extension options
Pires, Floriano
- In:
Maritime policy & management
46
(
2019
)
7
,
pp. 831-844
Persistent link: https://www.econbiz.de/10012210173
Saved in:
16
Efficient budget allocation strategies for elementary effectsmethod in stochastic simulation
Shi, Wen
;
Chen, Xi
- In:
Naval research logistics : an international journal
65
(
2018
)
3
,
pp. 218-241
Persistent link: https://www.econbiz.de/10012166187
Saved in:
17
Faster comparison of stopping times by nested conditional Monte Carlo
Dickmann, Fabian
;
Schweizer, Nikolaus
- In:
The journal of computational finance
20
(
2016
)
2
,
pp. 101-123
Persistent link: https://www.econbiz.de/10011656716
Saved in:
18
Valuation of large variable annuity portfolios under
nested
simulation
: a functional data approach
Gan, Guojun
;
Lin, X. Sheldon
- In:
Insurance / Mathematics & economics
62
(
2015
),
pp. 138-150
Persistent link: https://www.econbiz.de/10011312079
Saved in:
19
Nested
Simulation
in Portfolio Risk Measurement
Gordy, Michael B.
;
Juneja, Sandeep
- In:
Management Science
56
(
2010
)
10
,
pp. 1833-1848
Risk measurement for derivative portfolios almost invariably calls for
nested
simulation
. In the outer step, one draws …
Persistent link: https://www.econbiz.de/10009208440
Saved in:
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