Essays about: "Gustav Gistvik"

Found 1 essay containing the words Gustav Gistvik.

  1. 1. Estimation, model selection and evaluation of regression functions in a Least-squares Monte-Carlo framework

    University essay from Linköpings universitet/Linköpings universitet/ProduktionsekonomiTekniska högskolan; Linköpings universitet/Linköpings universitet/ProduktionsekonomiTekniska högskolan

    Author : Johan Danielsson; Gustav Gistvik; [2014]
    Keywords : LSMC; Least Squares Monte-Carlo; Solvency; SCR; Regression;

    Abstract : This master thesis will investigate one solution to the problem issues with nested stochastic simulation arising when the future value of a portfolio need to be calculated. The solution investigated is the Least-squares Monte-Carlo method, where regression is used to obtain a proxy function for the given portfolio value. READ MORE