Internal model in life insurance : application of least squares monte carlo in risk assessment

Submitted on 29th July 2015

In this paper we show how prospective modelling of an economic balance sheet using the least squares Monte Carlo (LSMC) approach can be implemented in practice. The first aim is to review the convergence properties of the LSMC estimator in the context of life assurance. We pay particular attention to the practicalities of implementing such a technique in the real world. The paper also presents some examples of using the valuation function calibrated in this way.

ISFA University
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Oberlain Nteukam Teuguia, Jiaen Ren, Frdric Planchet
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