The difference between LSMC and replicating portfolio in insurance liability modeling

Solvency II requires insurers to calculate the 1-year value at risk of their balance sheet. This involves the valuation of the balance sheet in 1 year’s time. As for insurance liabilities, closed-form solutions to their value are generally not available, insurers turn to estimation procedures. While...

Ausführliche Beschreibung

Gespeichert in:

Bibliographische Detailangaben
Veröffentlicht in:	European actuarial journal 2016-12, Vol.6 (2), p.441-494
Hauptverfasser:	Pelsser, Antoon, Schweizer, Janina
Format:	Artikel
Sprache:	eng
Schlagworte:	Actuarial science Applications of Mathematics Approximation Economics Financial instruments Financial Services Game Theory Insurance policies Life insurance Mathematics Mathematics and Statistics Methods Monte Carlo simulation Original Research Paper Quantitative Finance Random variables Risk capital Social and Behav. Sciences Solvency Valuation
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!

Schreiben Sie den ersten Kommentar!