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Machine Learning in Least-Squares Monte Carlo Proxy Modeling of Life Insurance Companies

Under the Solvency II regime, life insurance companies are asked to derive their solvency capital requirements from the full loss distributions over the coming year. Since the industry is currently far from being endowed with sufficient computational capacities to fully simulate these distributions,...

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書目詳細資料
Main Authors: Anne-Sophie Krah, Zoran Nikolić, Ralf Korn
格式: Artigo
語言:Inglês
出版: MDPI AG 2020-02-01
叢編:Risks
主題:
在線閱讀:https://www.mdpi.com/2227-9091/8/1/21
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