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Least-Squares Monte Carlo for Proxy Modeling in Life Insurance: Neural Networks
The least-squares Monte Carlo method has proved to be a suitable approximation technique for the calculation of a life insurer’s solvency capital requirements. We suggest to enhance it by the use of a neural network based approach to construct the proxy function that models the insurer’s loss with r...
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| Main Authors: | , , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado: |
MDPI AG
2020-11-01
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| Series: | Risks |
| Assuntos: | |
| Acceso en liña: | https://www.mdpi.com/2227-9091/8/4/116 |
| Tags: |
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