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On the Calculation of the Solvency Capital Requirement Based on Nested Simulations
12 references·1 citing·35 second hop
On the Calculation of the Solvency Capital Requirement Based on Nested Simulations (2012)On the Calculation of the Solvency Capita…Efficient Risk Estimation via Nested Sequential Simulation (2011)Efficient Risk Estimation via…Applications of Forward Mortality Factor Models in Life Insurance Practice (2011)Applications of Forward Morta…On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View (2010)On the Risk-Neutral Valuation…Nested Simulation in Portfolio Risk Measurement (2010)Nested Simulation in Portfoli…A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation (2010)A Confidence Interval Procedu…Solvency II: stability problems with the SCR aggregation formula (2007)Solvency II: stability proble…Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment (2007)Risk-neutral valuation of par…The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies (2006)The interaction of guarantees…Risk-neutral valuation of participating life insurance contracts (2006)Risk-neutral valuation of par…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Fair Value of Liabilities: The Financial Economics Perspective (2002)Fair Value of Liabilities: Th…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …The Marginal Cost of Risk, Risk Measures, and Capital Allocation (2015)The Marginal Cost of Risk, Ri…Extreme Values, Regular Variation and Point Processes (1987)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Top Incomes in the Long Run of History (2011)Martingales and stochastic integrals in the theory of continuous trading (1981)Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies (2000)Life Insurance Liabilities at Market Value: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework (2002)Fair valuation of insurance contracts under Lévy process specifications (2007)The pricing of equity-linked life insurance policies with an asset value guarantee (1976)Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option (2003)Risk analysis and valuation of life insurance contracts: Combining actuarial and financial approaches (2011)Research on lapse in life insurance: what has been done and what needs to be done? (2013)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Brownian Motion and Stochastic Calculus (2007)A Cautionary Note on Natural Hedging of Longevity Risk (2014)Catastrophe Modeling: A New Approach to Managing Risk (2005)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Scandinavian Actuarial Journal (2008)Copula based hierarchical risk aggregation through sample reordering (2012)Modelling Extremal Events (1997)Coherent Measures of Risk (1999)Consistency between principal and agent with differing time horizons: Computing incentives under risk (2019)Simulation modeling and analysis (1999)On the coherence of expected shortfall (2002)Simulation-optimization via Kriging and bootstrapping: a survey (2014)Stochastic kriging with biased sample estimates (2014)Conditional value-at-risk for general loss distributions (2002)The Risk Map: A new tool for validating risk models (2013)Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk (2014)Valuation of large variable annuity portfolios under nested simulation: A functional data approach (2015)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Risk Estimation via Regression (2015)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)
this work references cited by second hop

References

  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 2010Nested Simulation in Portfolio Risk Measurement180 cited
  • 2011Efficient Risk Estimation via Nested Sequential Simulation109 cited
  • 2006Risk-neutral valuation of participating life insurance contracts88 cited
  • 2006The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies85 cited
  • 2010A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation58 cited
  • 2007Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment57 cited
  • 2007Solvency II: stability problems with the SCR aggregation formula57 cited
  • 2010On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View42 cited
  • 2002Fair Value of Liabilities: The Financial Economics Perspective36 cited
  • 2011Applications of Forward Mortality Factor Models in Life Insurance Practice29 cited

Cited by

  • 2015The Marginal Cost of Risk, Risk Measures, and Capital Allocation44 cited

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