کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076256 | 1477204 | 2016 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Inside the Solvency 2 Black Box: Net Asset Values and Solvency Capital Requirements with a least-squares Monte-Carlo approach
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Inside the Solvency 2 Black Box: Net Asset Values and Solvency Capital Requirements with a least-squares Monte-Carlo approach Inside the Solvency 2 Black Box: Net Asset Values and Solvency Capital Requirements with a least-squares Monte-Carlo approach](/preview/png/5076256.png)
چکیده انگلیسی
The calculation of Net Asset Values and Solvency Capital Requirements in a Solvency 2 context-and the derivation of sensitivity analyses with respect to the main financial and actuarial risk drivers-is a complex procedure at the level of a real company, where it is illusory to be able to rely on closed-form formulas. The most general approach to performing these computations is that of nested simulations. However, this method is also hardly realistic because of its huge computation resources demand. The least-squares Monte Carlo method has recently been suggested as a way to overcome these difficulties. The present paper confirms that using this method is indeed relevant for Solvency 2 computations at the level of a company.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 71, November 2016, Pages 15-26
Journal: Insurance: Mathematics and Economics - Volume 71, November 2016, Pages 15-26
نویسندگان
Anthony Floryszczak, Olivier Le Courtois, Mohamed Majri,