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pro vyhledávání: '"Viviano, Fabio"'
An iterative least-squares Monte Carlo approach for the simulation of cohort based biometric indices
Publikováno v:
European Actuarial Journal; 20240101, Issue: Preprints p1-26, 26p
In this paper we propose a methodology for valuing future annuity contracts based on the Least-Squares Monte Carlo approach. We adopt, as first step, a simplified computational framework where just one risk factor is taken into account, and then we
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1119::73a0752bca08e16162ed6a1539fbf465
https://hdl.handle.net/10077/32218
https://hdl.handle.net/10077/32218
Autor:
COSTABILE, MASSIMO, VIVIANO, FABIO
This paper addresses the problem of approximating the future value distribution of a large and heterogeneous life insurance portfolio which would play a relevant role, for instance, for solvency capital requirement valuations. Based on a metamodel, w
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1119::05c1d53a22698bd027867643d29cbf74
https://hdl.handle.net/10077/32220
https://hdl.handle.net/10077/32220
Autor:
Costabile, Massimo1 (AUTHOR) massimo.costabile@unical.it, Viviano, Fabio2 (AUTHOR) viviano.fabio@spes.uniud.it
Publikováno v:
Risks. Jun2020, Vol. 8 Issue 2, p48-48. 1p.