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Functional sensitivity analysis of ruin probability in the classical risk models

Cheurfa, Fatah; Takhedmit, Baya; Ouazine, Sofiane; … - In: Scandinavian actuarial journal 2021 (2021) 10, pp. 936-968

Persistent link: https://www.econbiz.de/10012696894

Is mortality or interest rate the most important risk in annuity models? : a comparison of sensitivity analysis methods

Rabitti, Giovanni; Borgonovo, Emanuele - In: Insurance / Mathematics & economics 95 (2020), pp. 48-58

Persistent link: https://www.econbiz.de/10012419238

Operational risk modelling in insurance and banking

Vukovic, Ognjen - In: Inventi impact: microfinance & banking (2016) 3, pp. 172-184

Persistent link: https://www.econbiz.de/10011567927

Insurance risk capital and risk aggregation : bivariate copula approach

Mejdoub, Hanène; Arab, Mounira Ben - In: International journal of computational economics and … 9 (2019) 3, pp. 202-218

Persistent link: https://www.econbiz.de/10012115324

Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis

Bianchetti, Marco - 2018

We review and apply Quasi Monte Carlo (QMC) and Global Sensitivity Analysis (GSA) techniques to pricing and risk management (greeks) of representative financial instruments of increasing complexity. We compare QMC vs standard Monte Carlo (MC) results in great detail, using high-dimensional Sobol...

Persistent link: https://www.econbiz.de/10012937343