New Findings Reported from A. Floryszczak and Co-Authors Describe Advances in Insurance Economics (Inside the Solvency 2 Black Box: Net Asset Values…

New Findings Reported from A. Floryszczak and Co-Authors Describe Advances in Insurance Economics (Inside the Solvency 2 Black Box: Net Asset Values and Solvency Capital Requirements with a least-squares Monte-Carlo approach)

By a News Reporter-Staff News Editor at Insurance Weekly News -- Data detailed on Economics - Insurance Economics have been presented. According to news reporting originating in Paris, France, by VerticalNews journalists, research stated, "The calculation of Net Asset Values and Solvency Capital Requirements in a Solvency 2 context - and the derivation of sensitivity analyses with respect to the main financial and actuarial risk drivers - is a complex procedure at the level of a real company, where it is illusory to be able to rely on closed-form formulas. The most general approach to performing these computations is that of nested simulations."

The news reporters obtained a quote from the research, "However, this method is also hardly realistic because of its huge computation resources demand. The least-squares Monte Carlo method has recently been suggested as a way to overcome these difficulties."

According to the news reporters, the research concluded: "The present paper confirms that using this method is indeed relevant for Solvency 2 computations at the level of a company."

For more information on this research see: Inside the Solvency 2 Black Box: Net Asset Values and Solvency Capital Requirements with a least-squares Monte-Carlo approach. Insurance Mathematics & Economics, 2016;71():15-26. Insurance Mathematics & Economics can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands.

Our news correspondents report that additional information may be obtained by contacting A. Floryszczak, SMABTP Grp, F-75015 Paris, France. Additional authors for this research include O. Le Courtois and M. Majri.

Keywords for this news article include: Paris, France, Europe, Insurance Economics, Economics.

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