Efficient evaluation of alternative reinsurance strategies using control variates
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s13385-022-00304-6.pdf
Reference9 articles.
1. Albrecher H, Beirlant J, Teugels JL (2017) Reinsurance: actuarial and statistical aspects. Wiley, Hoboken
2. Glasserman P (2004) Monte Carlo methods in financial engineering. Stochastic modelling and applied probability. Springer, New York
3. Glynn PW, Szechtman R (2002) Some new perspectives on the method of control variates. Monte Carlo and Quasi-Monte Carlo methods 2000. Springer, Berlin, pp 27–49
4. Graf S, Korn R (2020) A guide to Monte Carlo simulation concepts for assessment of risk-return profiles for regulatory purposes. Eur Actuar J 10(2):273–293
5. Korn R, Korn E, Kroisandt G (2010) Monte Carlo methods and models in finance and insurance. Chapman and Hall/CRC Financial Mathematics Series. CRC Press, Boca Raton
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