Relevant applications of Monte Carlo simulation in Solvency II

Author:

Casarano Giuseppe,Castellani Gilberto,Passalacqua Luca,Perla Francesca,Zanetti Paolo

Publisher

Springer Science and Business Media LLC

Subject

Geometry and Topology,Theoretical Computer Science,Software

Reference36 articles.

1. Bauer D, Bergmann D, Kiesel R (2010a) On the risk-neutral valuation of life insurance contracts with numerical methods in view. Astin Bull 40(1):65–95

2. Bauer D, Bergmann D, Reuss A (2010b) Solvency II and Nested Simulations—a Least- Squares Monte Carlo Approach, Working paper, Georgia State University and Ulm University

3. Bauer D, Reuss A, Singer D (2012) On the calculation of the Solvency II Capital requirement based on Nested simulations. Astin Bull 42(2):453–501

4. Black F, Scholes M (1973) The pricing of options and corporate liabilities. J Political Econ 81(3):637–654

5. Broadie M, Du Y, Moallemi CC (2011) Efficient risk estimation via nested sequential simulation. Manag Sci 57:1172–1194

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