FAST SENSITIVITY COMPUTATIONS FOR MONTE CARLO VALUATION OF PENSION FUNDS

DOI10.2143/AST.40.2.2061132zbMath1235.91095OpenAlexW3122308230MaRDI QIDQ3071113

David H. Pitt, Mark S. Joshi

Publication date: 1 February 2011

Full work available at URL: https://econpapers.repec.org/RePEc:cup:astinb:v:40:y:2010:i:02:p:655-667_00

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

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