Efficient asset allocation with least squares Monte Carlo

Traditional methods of allocating assets fall short in several key aspects. In this paper, Romain Lombardo and Alexis Bailly show how the LSMC approach can be used to optimise asset allocation for insurers in a Solvency II world


How to develop multi-year capital projections for the ORSA

Solvency II firms have a lot to do to develop their modelling capabilities into a multi-period capital projections. This is why Craig Turnbull and Andy Frepp recommend insurers invest in statistically robust multi-period capital proxy functions such as least-squares Monte Carlo


Moody's Analytics releases economic capital calculator

Helps insurers with Solvency II internal model calculations


Conning and Milliman link GEMS and MG-ALFA

Milliman's actuarial modelling software will take outputs from Conning's ESG


Insurers risk missing broader aspects of Solvency II

But more holistic approach is gaining ground, says Barrie & Hibbert