Using least squares Monte Carlo for Solvency II proxy modelling

Published in: Capital Models, Expert papers

Companies: Milliman, Barrie and Hibbert

A nested stochastic approach can prove difficult for many European life insurers implementing a Solvency II internal model, and some proxy modelling techniques such as replicating portfolios and curve-fitting have drawbacks. Mario Hörig and Michael Leitschkis describe an alternative approach that is growing in popularity: Least Squares Monte Carlo (LSMC)

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