Testing the least-squares Monte Carlo method for the evaluation of capital requirements in life insurance
Year of publication: |
2020
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Authors: | Costabile, Massimo ; Viviano, Fabio |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 8.2020, 2/48, p. 1-13
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Subject: | least squares Monte Carlo | Solvency capital requirements | value at risk | Lebensversicherung | Life insurance | Kapitalbedarf | Capital requirements | Risikomaß | Risk measure | Monte-Carlo-Simulation | Monte Carlo simulation | Kleinste-Quadrate-Methode | Least squares method |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks8020048 [DOI] hdl:10419/258002 [Handle] |
Classification: | G22 - Insurance; Insurance Companies |
Source: | ECONIS - Online Catalogue of the ZBW |
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