Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks

The main objective of this work is to develop a detailed step-by-step guide to the development and application of a new class of efficient Monte Carlo methods to solve practically important problems faced by insurers under the new solvency regulations. In particular, a novel Monte Carlo method to ca...

Πλήρης περιγραφή

Λεπτομέρειες βιβλιογραφικής εγγραφής

Κύριοι συγγραφείς:	Gareth W. Peters, Rodrigo S. Targino, Mario V. Wüthrich
Μορφή:	Artigo
Γλώσσα:	Inglês
Έκδοση:	MDPI AG 2017-09-01
Σειρά:	Risks
Θέματα:	capital allocation premium and reserve risk Solvency Capital Requirement (SCR) Sequential Monte Carlo (SMC) Swiss Solvency Test (SST)
Διαθέσιμο Online:	https://www.mdpi.com/2227-9091/5/4/53
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