Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258002 
Year of Publication: 
2020
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 8 [Issue:] 2 [Article No.:] 48 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-13
Publisher: 
MDPI, Basel
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.
Subjects: 
least squares Monte Carlo
Solvency capital requirements
value at risk
JEL: 
G22
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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