2023
DOI: 10.1016/j.insmatheco.2022.10.002
|View full text |Cite
|
Sign up to set email alerts
|

Two-stage nested simulation of tail risk measurement: A likelihood ratio approach

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
1

Citation Types

0
1
0

Year Published

2023
2023
2023
2023

Publication Types

Select...
1
1

Relationship

0
2

Authors

Journals

citations
Cited by 2 publications
(1 citation statement)
references
References 27 publications
0
1
0
Order By: Relevance
“…This simulation method has demonstrated its capability in the rapid valuation of variable annuities under different settings (e.g., Dang et al 2020;Feng et al 2020). Additionally, Dang et al (2023) have leveraged Green simulation to manage tail risks associated with variable annuities. On longevity risk management, have extended the application of Green simulation for the evaluation of life insurance products and mortality-linked securities.…”
Section: A Thin-plate Regression Spline-based Approximation Algorithmmentioning
confidence: 99%
“…This simulation method has demonstrated its capability in the rapid valuation of variable annuities under different settings (e.g., Dang et al 2020;Feng et al 2020). Additionally, Dang et al (2023) have leveraged Green simulation to manage tail risks associated with variable annuities. On longevity risk management, have extended the application of Green simulation for the evaluation of life insurance products and mortality-linked securities.…”
Section: A Thin-plate Regression Spline-based Approximation Algorithmmentioning
confidence: 99%