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...

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Hlavní autoři:	Gareth W. Peters, Rodrigo S. Targino, Mario V. Wüthrich
Médium:	Artigo
Jazyk:	Inglês
Vydáno:	MDPI AG 2017-09-01
Edice:	Risks
Témata:	capital allocation premium and reserve risk Solvency Capital Requirement (SCR) Sequential Monte Carlo (SMC) Swiss Solvency Test (SST)
On-line přístup:	https://www.mdpi.com/2227-9091/5/4/53
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