This site uses cookies. By continuing to browse the site you are agreeing to our use of cookies. Find out more here

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)

Forgot your password?

To access the premium content on InsuranceERM, you must first sign in to your account

Not registered? Take a free no obligation one-month trial.