Sökning: "nested Monte Carlo simulation"
Hittade 4 uppsatser innehållade orden nested Monte Carlo simulation.
1. Asset and Liability Management: Optimization using Least-Squares Monte Carlo
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : This thesis aims to examine an efficient asset and liability management method under Solvency II regulations, and to find an optimization framework that takes complex interactions between assets and liabilities into account. The investigated approach consists of a least-squares Monte Carlo method, where least-squares regression is used to obtain a proxy function for future net asset values. LÄS MER
2. Application and Evaluation of Artificial Neural Networks in Solvency Capital Requirement Estimations for Insurance Products
Master-uppsats, KTH/Matematisk statistikSammanfattning : The least squares Monte Carlo (LSMC) approach is commonly used in the estimation of the solvency capital requirement (SCR), as a more computationally efficient alternative to a full nested Monte Carlo simulation. This study compares the performance of artificial neural networks (ANNs) to that of the LSMC approach in the estimation of the SCR of various financial portfolios. LÄS MER
3. Estimation, model selection and evaluation of regression functions in a Least-squares Monte-Carlo framework
Master-uppsats, Linköpings universitet/Produktionsekonomi; Linköpings universitet/Tekniska högskolanSammanfattning : This master thesis will investigate one solution to the problem issues with nested stochastic simulation arising when the future value of a portfolio need to be calculated. The solution investigated is the Least-squares Monte-Carlo method, where regression is used to obtain a proxy function for the given portfolio value. LÄS MER
4. Residual-based test for Nonlinear Cointegration with application in PPPs
Master-uppsats, StatistikSammanfattning : Nested by linear cointegration first provided in Granger (1981), the definition of nonlinear cointegration is presented in this paper. Sequentially, a nonlinear cointegrated economic system is introduced. LÄS MER