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The difference between LSMC and replicating portfolio in insurance liability modeling
Solvency II requires insurers to calculate the 1-year value at risk of their balance sheet. This involves the valuation of the balance sheet in 1 year’s time. As for insurance liabilities, closed-form solutions to their value are generally not available, insurers turn to estimation procedures. While...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Springer Berlin Heidelberg
2016
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5750763/ https://www.ncbi.nlm.nih.gov/pubmed/29368753 http://dx.doi.org/10.1007/s13385-016-0133-z |