Testing the Least-Squares Monte Carlo Method for the Evaluation of Capital Requirements in Life Insurance
Clicks: 287
ID: 113098
2020
Article Quality & Performance Metrics
Overall Quality
Not rated
Combines reader engagement with the AI quality analysis. This
article has not been analysed, so there is no overall score —
reader engagement is measured and shown alongside.
Reader Engagement
Steady Performance
30.0
/100
287 views
73 readers
AI Quality Assessment
Not analyzed
Readership in this journal
SteadyRanked #21 of 89 articles by views in risks
Most read
Least read
Bar heights use a square-root scale.
Mint this article as an NFT
Not yet mintedCreate a permanent, verifiable on-chain record of this article on the Scimatic Network. The NFT is held in your Journament account, and you can withdraw it to your own wallet at any time.
5
SUSD
one-off · no wallet required
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.
| Reference Key |
viviano2020riskstesting
Use this key to autocite in the manuscript while using
SciMatic Manuscript Manager or Thesis Manager
|
|---|---|
| Authors | Massimo Costabile,Fabio Viviano;Massimo Costabile;Fabio Viviano; |
| Journal | risks |
| Year | 2020 |
| DOI |
10.3390/risks8020048
|
| URL | |
| Keywords |
Citations
No citations found. To add a citation, contact the admin at info@scimatic.org
Comments
No comments yet. Be the first to comment on this article.