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

   University essay from Linköpings universitet/Produktionsekonomi; Linköpings universitet/Tekniska 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