We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks’ capital …

the Box–Muller simulation method. In passing, we prove an extension of the sector and circle number functions. …

The aim of this project is to develop a stochastic simulation machine that generates individual claims histories of non …-life insurance claims. This simulation machine is based on neural networks to incorporate individual claims feature information. We … simulation machine allows everyone to simulate their own synthetic insurance portfolio of individual claims histories and back …

chain services and economic indicators of the retail trade network. Using the anyLogistix software tool, a simulation model … because they can be eliminated in a short time. The simulation results show that the most tangible risks for the food retail … and optimization methods, as well as simulation modeling. …

derive the Laplace transform of the Parisian time using a recursive method, and provide an exact simulation algorithm to …

for the Heston model, which are based on exact simulation of the underlying volatility process. Both for an Euler- and a …

simulation of the skeleton of such processes and propose a novel procedure when they coincide with compound Poisson processes of … Ornstein-Uhlenbeck type. We illustrate the applicability of the theoretical findings and the simulation algorithms in the …