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Sample recycling method : a new approach to efficient nested Monte Carlo simulations
Fang, Runhuan; Li, Peng - In: Insurance / Mathematics & economics 105 (2022), pp. 336-359
Persistent link: https://www.econbiz.de/10013349067
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Sustainability of participation in collective pension schemes : an option pricing approach
Chen, Damiaan H. J.; Beetsma, Roel; Broeders, Dirk W. G. A. - In: Insurance / Mathematics & economics 74 (2017), pp. 182-196
Persistent link: https://www.econbiz.de/10011712469
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Efficient randomized quasi-Monte Carlo methods for portfolio market risk
Sak, Halis; Başoğlu, İsmail - In: Insurance / Mathematics & economics 76 (2017), pp. 87-94
Persistent link: https://www.econbiz.de/10011774777
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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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VIX-linked fees for GMWBs via explicit solution simulation methods
Kouritzin, Michael A.; MacKay, Anne - In: Insurance / Mathematics & economics 81 (2018), pp. 1-17
Persistent link: https://www.econbiz.de/10011904577
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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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Tests for Laplace order dominance with applications to insurance data
Bhattacharyya, Dhrubasish; Khan, Ruhul Ali; Mitra, Murari - In: Insurance / Mathematics & economics 99 (2021), pp. 163-173
Persistent link: https://www.econbiz.de/10012649215
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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
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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
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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