# Essays about: "nested Monte Carlo simulation"

Found 4 essays containing the words nested Monte Carlo simulation.

1. ## 1. Asset and Liability Management: Optimization using Least-Squares Monte Carlo

University essay from Lunds universitet/Matematisk statistik

Abstract : This thesis aims to examine an efficient asset and liability management method under Solvency II regulations, and to find an optimization framework that takes complex interactions between assets and liabilities into account. The investigated approach consists of a least-squares Monte Carlo method, where least-squares regression is used to obtain a proxy function for future net asset values. READ MORE

2. ## 2. Application and Evaluation of Artificial Neural Networks in Solvency Capital Requirement Estimations for Insurance Products

University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

Keywords : ;

Abstract : The least squares Monte Carlo (LSMC) approach is commonly used in the estimation of the solvency capital requirement (SCR), as a more computationally efficient alternative to a full nested Monte Carlo simulation. This study compares the performance of artificial neural networks (ANNs) to that of the LSMC approach in the estimation of the SCR of various financial portfolios. READ MORE

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

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

4. ## 4. Residual-based test for Nonlinear Cointegration with application in PPPs

University essay from Högskolan Dalarna/Statistik

Abstract : Nested by linear cointegration first provided in Granger (1981), the definition of nonlinear cointegration is presented in this paper. Sequentially, a nonlinear cointegrated economic system is introduced. READ MORE 