Efficient evaluation of alternative reinsurance strategies using control variates

DOI10.1007/s13385-022-00304-6zbMath1492.91427OpenAlexW4205910140MaRDI QIDQ2157233

Ioannis Kyriakou, Andreas Tsanakas

Publication date: 27 July 2022

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/27414/8/ControlVariates.pdf

zbMATH Keywords

Monte Carlo simulationreinsurancecontrol variates

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Actuarial mathematics (91G05)

Cites Work

• Applications of the central limit theorem for pricing cliquet-style options
• An optimal reinsurance simulation model for non-life insurance in the Solvency II framework
• A guide to Monte Carlo simulation concepts for assessment of risk-return profiles for regulatory purposes
• Reinsurance
• Monte Carlo Methods and Models in Finance and Insurance
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