Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach-Reference-Cited by-同舟云学术

Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach

Published:2021-02-14 Issue:9 Volume:2021 Page:744-778
ISSN:0346-1238
Container-title:Scandinavian Actuarial Journal
language:en
Short-container-title:Scandinavian Actuarial Journal

Author:

Li Peng¹,Feng Runhuan²

Affiliation:

1. School of Finance, Nanjing University of Finance and Economics, Nanjing, People's Republic of China

2. Department of Mathematics, University of Illinois at Urbana-Champaign, Champaign, IL, USA

Funder

Natural Science Foundation of Jiangsu Province

Society of Acturies

China Ministry of Education, Humanities and Social Sciences

State Farm Companies Foundation

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03461238.2021.1881809

Reference55 articles.

1. Bauer D., Bergmann D. & Reuss A. (2010). Solvency II and nested simulations a least squares Monte Carlo approach. In Proceedings of the 2010 ICA congress, Sydney, 23–27.

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