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Article Dans Une Revue Insurance: Mathematics and Economics Année : 2016

Inside the Solvency 2 Black Box : Net asset values and solvency capital requirements with a least-squares Monte-Carlo approach

Olivier Le Courtois
  • Fonction : Auteur
Mohamed Majri
  • Fonction : Auteur

Résumé

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. 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. The present paper confirms that using this method is indeed relevant for Solvency 2 computations at the level of a company.

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Dates et versions

hal-02313445 , version 1 (20-03-2020)

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  • HAL Id : hal-02313445 , version 1

Citer

Anthony Floryszczak, Olivier Le Courtois, Mohamed Majri. Inside the Solvency 2 Black Box : Net asset values and solvency capital requirements with a least-squares Monte-Carlo approach. Insurance: Mathematics and Economics, 2016, 71, 15-26 p. ⟨hal-02313445⟩

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