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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...
שמור ב:
| Main Authors: | , , |
|---|---|
| פורמט: | Artigo |
| שפה: | Inglês |
| יצא לאור: |
MDPI AG
2020-11-01
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| סדרה: | Risks |
| נושאים: | |
| גישה מקוונת: | https://www.mdpi.com/2227-9091/8/4/116 |
| תגים: |
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