How Many Inner Simulations to Compute Conditional Expectations with Least-square Monte Carlo?

Author:

Alfonsi Aurélien,Lapeyre Bernard,Lelong Jérôme

Publisher

Springer Science and Business Media LLC

Subject

General Mathematics,Statistics and Probability

Reference14 articles.

1. Alfonsi A, Cherchali A, Acevedo JAI (2021) Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests. Insurance Math Econom 100:234–260

2. Bauer D, Bergmann D, Reuss A (2009) Solvency II and nested simulations – a least-squares Monte Carlo approach. Preprint Universität Ulm

3. Broadie M, Du Y, Moallemi CC (2015) Risk estimation via regression. Oper Res 63(5):1077–1097

4. Belomestny D, Kolodko A, Schoenmakers J (2009/10) Regression methods for stochastic control problems and their convergence analysis. SIAM J Control Optim 48(5):3562–3588

5. Bauer D, Reuss A, Singer D (2012) On the calculation of the solvency capital requirement based on nested simulations. ASTIN Bulletin 42(2):453–499

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