Testing the Least-Squares Monte Carlo Method for the Evaluation of Capital Requirements in Life Insurance

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ID: 110645
2020
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Abstract
In this paper, we test the efficiency of least-squares Monte Carlo method to estimate capital requirements in life insurance. We choose a simplified Gaussian evaluation framework where closed-form formulas are available and allow us to obtain solid benchmarks. Extensive numerical experiments were conducted by considering different combinations of simulation runs and basis functions, and the corresponding results are illustrated.
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costabile2020riskstesting Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Massimo Costabile;Fabio Viviano;Costabile, Massimo;Viviano, Fabio;
Journal risks
Year 2020
DOI
10.3390/risks8020048
URL
https://www.mdpi.com/2227-9091/8/2/48
Keywords
value at risk least squares monte carlo solvency capital requirements value at risk least squares monte carlo solvency capital requirements

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