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  • Search: subject:"nested simulation method"
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Bank risk 1 Bankrisiko 1 Basel Accord 1 Basler Akkord 1 Derivat 1 Derivative 1 Forecasting model 1 Lebensversicherung 1 Life insurance 1 Mortality 1 Prognoseverfahren 1 Risikomanagement 1 Risikomodell 1 Risk management 1 Risk model 1 Simulation 1 Sterblichkeit 1 Theorie 1 Theory 1 mortality-linked derivative 1 nested simulation method 1 risk-based capital 1 solvency capital requirement 1 surrogate model 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Yang, Shuai 1 Zhou, Kenneth Q. 1
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Risks : open access journal 1
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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
In the insurance industry, life insurers are required by regulators to meet capital requirements to avoid insolvency caused by, for example, sudden mortality changes due to the COVID-19 pandemic. To prevent any large movements in this required capital, insurance companies are motivated to...
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