Economic scenario generators: a risk management tool for insurance

DOI10.5802/msia.16OpenAlexW4281391921MaRDI QIDQ2094843

Bernard Lapeyre, Sophian Mehalla, Pierre-Edouard Arrouy, Alexandre Boumezoued

Publication date: 8 November 2022

Published in: MathematicS In Action (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5802/msia.16

zbMATH Keywords

insurancerisk managementLIBOR market modeleconomic scenarios generatorssolvability II

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

• Unnamed Item
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• Inside the Solvency 2 black box: net asset values and solvency capital requirements with a least-squares Monte-Carlo approach
• LIBOR market model with stochastic volatility
• On the Calculation of the Solvency Capital Requirement Based on Nested Simulations
• FUNDAMENTAL DEFINITION OF THE SOLVENCY CAPITAL REQUIREMENT IN SOLVENCY II

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