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Search: subject:"nested simulation"
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Theory
Simulation
16
Theorie
8
nested simulation
8
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6
Nested simulation
6
Schätztheorie
6
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5
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5
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Option pricing theory
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variance reduction
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Feng, Mingbin
3
Dang, Ou
2
Hardy, Mary Rosalyn
2
Lin, X. Sheldon
2
Yang, Shuai
2
Zhou, Kenneth Q.
2
Chen, Xi
1
Feng, Runhuan
1
Gan, Guojun
1
Li, Johnny Siu-Hang
1
Li, Peng
1
Shi, Wen
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Insurance / Mathematics & economics
3
ASTIN bulletin : the journal of the International Actuarial Association
1
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
1
Naval research logistics : an international journal
1
Risks : open access journal
1
Scandinavian actuarial journal
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ECONIS (ZBW)
8
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1
On risk management of mortality and longevity capital requirement : a predictive simulation approach
Yang, Shuai
;
Zhou, Kenneth Q.
- In:
Risks : open access journal
11
(
2023
)
12
,
pp. 1-18
specifically, we introduce a thin-plate regression spline method as a surrogate alternative to the standard
nested
simulation
…
Persistent link: https://www.econbiz.de/10014446489
Saved in:
2
Dynamic importance allocated
nested
simulation
for variable annuity risk measurement
Dang, Ou
;
Feng, Mingbin
;
Hardy, Mary Rosalyn
- In:
Annals of actuarial science : publ. by the Institute of …
16
(
2022
)
2
,
pp. 319-348
Persistent link: https://www.econbiz.de/10013342141
Saved in:
3
Two-stage
nested
simulation
of tail risk measurement : a likelihood ratio approach
Dang, Ou
;
Feng, Mingbin
;
Hardy, Mary Rosalyn
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 1-24
Persistent link: https://www.econbiz.de/10013534507
Saved in:
4
Green
nested
simulation
via likelihood ratio : applications to longevity risk management
Feng, Mingbin
;
Li, Johnny Siu-Hang
;
Zhou, Kenneth Q.
- In:
Insurance / Mathematics & economics
106
(
2022
),
pp. 285-301
Persistent link: https://www.econbiz.de/10013380561
Saved in:
5
Nested Monte Carlo simulation in financial reporting : a review and a new hybrid approach
Li, Peng
;
Feng, Runhuan
- In:
Scandinavian actuarial journal
2021
(
2021
)
9
,
pp. 744-778
Persistent link: https://www.econbiz.de/10012653687
Saved in:
6
Efficient dynamic hedging for large variable annuity portfolios with multiple underlying assets
Lin, X. Sheldon
;
Yang, Shuai
- In:
ASTIN bulletin : the journal of the International …
50
(
2020
)
3
,
pp. 913-957
Persistent link: https://www.econbiz.de/10012307390
Saved in:
7
Efficient budget allocation strategies for elementary effectsmethod in stochastic simulation
Shi, Wen
;
Chen, Xi
- In:
Naval research logistics : an international journal
65
(
2018
)
3
,
pp. 218-241
Persistent link: https://www.econbiz.de/10012166187
Saved in:
8
Valuation of large variable annuity portfolios under
nested
simulation
: a functional data approach
Gan, Guojun
;
Lin, X. Sheldon
- In:
Insurance / Mathematics & economics
62
(
2015
),
pp. 138-150
Persistent link: https://www.econbiz.de/10011312079
Saved in:
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