Search Results - subject:"Nested simulation"

On risk management of mortality and longevity capital requirement : a predictive simulation approach

Yang, Shuai; Zhou, Kenneth Q. - In: Risks : open access journal 11 (2023) 12, pp. 1-18

specifically, we introduce a thin-plate regression spline method as a surrogate alternative to the standard nested simulation …

Persistent link: https://www.econbiz.de/10014446489

openIRM: publicly accessible internal risk model of an artificial life insurer for analyzing and benchmarking actuarial methods in the solvency II setting

Wolf, Mark-Oliver; Meyer, Benedict Nikolaus; Mahler, Philipp - In: European Actuarial Journal 16 (2025) 1, pp. 225-282

We introduce , the Internal Risk Model of an artificial life insurer, designed to allow an easy benchmarking of nested … simulation techniques for Solvency Capital Requirement ( ) estimation under Solvency II and other actuarial methods. integrates …

Persistent link: https://www.econbiz.de/10015626833

Efficient nested simulation experiment design via the likelihood ratio method

Feng, Mingbin; Song, Eunhye - In: INFORMS journal on computing : JOC ; charting new … 37 (2025) 3, pp. 723-742

Persistent link: https://www.econbiz.de/10015434775

Dynamic importance allocated nested simulation for variable annuity risk measurement

Dang, Ou; Feng, Mingbin; Hardy, Mary Rosalyn - In: Annals of actuarial science 16 (2022) 2, pp. 319-348

Persistent link: https://www.econbiz.de/10013342141

Smooth nested simulation : bridging cubic and square root convergence rates in high dimensions

Wang, Wenjia; Wang, Yanyuan; Zhang, Xiaowei - In: Management science : journal of the Institute for … 70 (2024) 12, pp. 9031-9057

Persistent link: https://www.econbiz.de/10015147769

A FAST method for nested estimation

Liang, Guo; Zhang, Kun; Luo, Jun - In: INFORMS journal on computing : JOC ; charting new … 36 (2024) 6, pp. 1481-1500

Persistent link: https://www.econbiz.de/10015164594

Two-stage nested simulation of tail risk measurement : a likelihood ratio approach

Dang, Ou; Feng, Mingbin; Hardy, Mary Rosalyn - In: Insurance 108 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10013534507

Subsampling and other considerations for efficient risk estimation in large portfolios

Giles, Michael B.; Haji-Ali, Abdul-Lateef - In: The journal of computational finance 26 (2022) 1, pp. 113-140

Persistent link: https://www.econbiz.de/10014546280

Green nested simulation via likelihood ratio : applications to longevity risk management

Feng, Mingbin; Li, Johnny Siu-Hang; Zhou, Kenneth Q. - In: Insurance 106 (2022), pp. 285-301

Persistent link: https://www.econbiz.de/10013380561

Sample recycling method : a new approach to efficient nested Monte Carlo simulations

Fang, Runhuan; Li, Peng - In: Insurance 105 (2022), pp. 336-359

Persistent link: https://www.econbiz.de/10013349067