Krah, Anne-Sophie; Nikolić, Zoran; Korn, Ralf - In: Risks 6 (2018) 2, pp. 1-26
application of the Least-Squares Monte Carlo (LSMC) method offers a possibility to overcome this computational challenge. We … outline in detail the challenges a life insurer faces, the theoretical basis of the LSMC method and the necessary steps on the …