Affordable Access

Access to the full text

Testing the Least-Squares Monte Carlo Method for the Evaluation of Capital Requirements in Life Insurance

Authors
  • costabile, massimo
  • viviano, fabio
Publication Date
May 18, 2020
Identifiers
DOI: 10.3390/risks8020048
OAI: oai:mdpi.com:/2227-9091/8/2/48/
Source
MDPI
Keywords
Language
English
License
Green
External links

Abstract

In this paper, we test the efficiency of least-squares Monte Carlo method to estimate capital requirements in life insurance. We choose a simplified Gaussian evaluation framework where closed-form formulas are available and allow us to obtain solid benchmarks. Extensive numerical experiments were conducted by considering different combinations of simulation runs and basis functions, and the corresponding results are illustrated.

Report this publication

Statistics

Seen <100 times