Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach

DOI10.1080/03461238.2021.1881809zbMath1479.91445OpenAlexW3130785163MaRDI QIDQ5014496

Runhuan Feng, Peng Li

Publication date: 8 December 2021

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

Full work available at URL: https://doi.org/10.1080/03461238.2021.1881809

zbMATH Keywords

Monte Carlo simulationnested simulationnumerical PDE methodsfinancial reportingnested stochastic modeling

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic models in economics (91B70) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75) Actuarial mathematics (91G05)

Related Items (2)

Sample recycling method -- a new approach to efficient nested Monte Carlo simulations ⋮ Variable annuity pricing, valuation, and risk management: a survey

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