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Adaptive importance sampling for simulating copula-based distributions
Bee, Marco - In: Insurance / Mathematics & economics 48 (2011) 2, pp. 237-245
Persistent link: https://www.econbiz.de/10008989334
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A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models
Scott, Alexandre; Metzler, Adam - In: Insurance / Mathematics & economics 64 (2015), pp. 279-293
Persistent link: https://www.econbiz.de/10011398073
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Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models
Targino, Rodrigo S.; Peters, Gareth W.; Shevchenko, Pavel V. - In: Insurance / Mathematics & economics 61 (2015), pp. 206-226
Persistent link: https://www.econbiz.de/10010515883
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Bayesian total loss estimation using shared random effects
Baumgartner, Carolin; Gruber, Lutz F.; Czado, Claudia - In: Insurance / Mathematics & economics 62 (2015), pp. 194-201
Persistent link: https://www.econbiz.de/10011312070
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Control variates and conditional Monte Carlo for basket and Asian options
Dingeç, Kemal Dinçer; Hörmann, Wolfgang - In: Insurance / Mathematics & economics 52 (2013) 3, pp. 421-434
Persistent link: https://www.econbiz.de/10009763657
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Application of data clustering and machine learning in variable annuity valuation
Gan, Guojun - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 795-801
Persistent link: https://www.econbiz.de/10010227827
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A copula based Bayesian approach for paid-incurred claims models for non-life insurance reserving
Peters, Gareth W.; Dong, Alice X. D.; Kohn, Robert - In: Insurance / Mathematics & economics 59 (2014), pp. 258-278
Persistent link: https://www.econbiz.de/10010470006
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On stochastic mortality modeling
Plat, Richard - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 393-404
Persistent link: https://www.econbiz.de/10009517554
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Stochastic portfolio specific mortality and the quantification of mortality basis risk
Plat, Richard - In: Insurance / Mathematics & economics 45 (2009) 1, pp. 123-132
Persistent link: https://www.econbiz.de/10009517590
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Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests
Alfonsi, Aurélien; Cherchali, Adel; Infante, Arturo - In: Insurance / Mathematics & economics 100 (2021), pp. 234-260
Persistent link: https://www.econbiz.de/10012622391