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

    Author : Sanna Brandel; [2018]
    Keywords : Asset and liability management; Solvency capital requirement; least-squares Monte Carlo; nested Monte Carlo simulation; risk-adjusted net asset value; mean-variance optimization; Mathematics and Statistics;

    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

    Author : Mattias Nilsson; Erik Sandberg; [2018]
    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

    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

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

    University essay from Högskolan Dalarna/Statistik

    Author : Dao Li; [2008]
    Keywords : Nonlinear cointegration; Common features; Regime transition; Residual-based test; Purchasing power parities;

    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