Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests
Year of publication: |
2021
|
---|---|
Authors: | Alfonsi, Aurélien ; Cherchali, Adel ; Infante, Arturo |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 100.2021, p. 234-260
|
Subject: | Asset liabilities management | Multilevel Monte-Carlo | Nested Monte-Carlo | SCR | Stress tests | Monte-Carlo-Simulation | Monte Carlo simulation | Statistischer Test | Statistical test |
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