The difference between LSMC and replicating portfolio in insurance liability modeling

DOI10.1007/s13385-016-0133-zzbMath1394.91227OpenAlexW3122603968WikidataQ59436874 ScholiaQ59436874MaRDI QIDQ2356640

Janina Schweizer, Antoon Pelsser

Publication date: 6 June 2017

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

Full work available at URL: https://doi.org/10.1007/s13385-016-0133-z

zbMATH Keywords

least squares regressionportfolio replicationleast squares Monte Carlo

Mathematics Subject Classification ID

Related Items (17)

Machine learning with kernels for portfolio valuation and risk management ⋮ Asset-liability management for long-term insurance business ⋮ A least-squares Monte Carlo approach to the estimation of enterprise risk ⋮ INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH ⋮ Socio-economic differentiation in experienced mortality modelling and its pricing implications ⋮ Economic neutral position: how to best replicate not fully replicable liabilities? ⋮ Mathematical foundation of the replicating portfolio approach ⋮ A machine learning approach to portfolio pricing and risk management for high‐dimensional problems ⋮ Replicating portfolio approach to capital calculation ⋮ The 3-step hedge-based valuation: fair valuation in the presence of systematic risks ⋮ VALUATION OF CONTINGENT GUARANTEES USING LEAST-SQUARES MONTE CARLO ⋮ Multilevel Monte Carlo for computing the SCR with the standard formula and other stress tests ⋮ ``Regression anytime with brute-force SVD truncation ⋮ Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting ⋮ Explainable neural network for pricing and universal static hedging of contingent claims ⋮ Application of Bayesian penalized spline regression for internal modeling in life insurance ⋮ Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach

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