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

被引：3
|
作者：
Costabile, Massimo [1 ]
Viviano, Fabio [2 ]
机构：
[1] Univ Calabria, Dept Econ Stat & Finance, Ponte Bui Ubo 0 C, I-87036 Arcavacata Di Rende, CS, Italy
[2] Univ Udine, Dept Econ & Stat, Via Tomadini 30-A, I-33100 Udine, UD, Italy
来源：
RISKS | 2020年 / 8卷 / 02期
关键词：
least squares Monte Carlo; Solvency capital requirements; value at risk; CONTRACTS; OPTIONS;
D O I：
10.3390/risks8020048
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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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页数：13
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