On the Calculation of the Solvency Capital Requirement Based on Nested Simulations

By Daniel Bauer, Andreas Reuß, D. Singer. 2012

94 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/72e9b7a9061f56926c31ca5a2f79df92a869f599

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. X. Lin
2. Guojun Gan

In Economics and Econometrics

1. X. Lin
2. Guojun Gan

In Finance

1. X. Lin
2. Guojun Gan

Citations in the corpus

• Valuation of large variable annuity portfolios under nested simulation: A functional data approach (2015, methodology): “How to hedge and manage the risks of a large VA portfolio and how to determine required capitals are a real challenge to insurance companies (Bauer et al., 2012).”
• FUNDAMENTAL DEFINITION OF THE SOLVENCY CAPITAL REQUIREMENT IN SOLVENCY II (2014, unknown): “Bauer et al. (2012) state that this is the intuitive definition of the SCR, while SCRnum0 is an approximation of it.”