Inside the Solvency 2 black box: net asset values and solvency capital requirements with a least-squares Monte-Carlo approach

DOI10.1016/j.insmatheco.2016.07.005zbMath1371.91088MaRDI QIDQ2374093

Mohamed Majri, Anthony Floryszczak, Olivier Le Courtois

Publication date: 14 December 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

order statisticsSolvency 2least-squares Monte Carlosolvency capital requirementparticipating contractnet asset value

Mathematics Subject Classification ID

Related Items (8)

A least-squares Monte Carlo approach to the estimation of enterprise risk ⋮ A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula ⋮ Multilevel Monte Carlo for computing the SCR with the standard formula and other stress tests ⋮ Sensitivity analysis with \(\chi^2\)-divergences ⋮ Robust evaluation of SCR for participating life insurances under Solvency II ⋮ Credit risk and solvency capital requirements ⋮ Economic scenario generators: a risk management tool for insurance ⋮ Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach

Cites Work

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• On the Calculation of the Solvency Capital Requirement Based on Nested Simulations
• Regression-based algorithms for life insurance contracts with surrender guarantees
• Modeling Surrender and Lapse Rates With Economic Variables
• Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
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