In this paper we test the efficiency of least-squares Monte Carlo method to estimate capital requirements in life insurance. We choose a simplified Gaussian evaluation framework where closed-form formulas are available and allow us to obtain solid benchmarks. Extensive numerical experiments have been conducted by considering different combinations of simulation runs and basis functions, and the corresponding results have been illustrated.
Testing the least-squares Monte Carlo method for the evaluation of capital requirements in life insurance
Costabile M.
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2020-01-01
Abstract
In this paper we test the efficiency of least-squares Monte Carlo method to estimate capital requirements in life insurance. We choose a simplified Gaussian evaluation framework where closed-form formulas are available and allow us to obtain solid benchmarks. Extensive numerical experiments have been conducted by considering different combinations of simulation runs and basis functions, and the corresponding results have been illustrated.File in questo prodotto:
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