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Risk models of annuity damages in non-life insurance

Authors :
Šmarda, Tomáš
Zimmermann, Pavel
Publication Year :
2017
Publisher :
Vysoká škola ekonomická v Praze, 2017.

Abstract

This thesis is focused on practical application of two methods used in non-life insurance, Nested Monte Carlo and Least squares Monte Carlo. Best estimate and 99.5% quantile was calculated using both methods and results was compared. Both methods are similar in estimates and therefore can be used for computation of capital requirement. Least squares Monte Carlo seem more favourable, because it significantly reduces computation time.

Details

Language :
Czech
Database :
OpenAIRE
Accession number :
edsair.od......2186..1fee21e621033e19059b486301893ee8