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Smart modelling : using control variates to boost performance

Recurso electrónico / electronic resource
MAP20100096246
Chan, Flora
Smart modelling : using control variates to boost performance / Flora Chan. — [New York : Towers Watson], 2009
(Insurance matters Asia-Pacific)
Sumario: Insurers are facing more complex modelling needs. Recent market turmoil, advances in regulatory and supervision, together with an increasingly competitive business environment, has made insurers focus on more frequent reporting of complex risk metrics, and consequently the need for more efficient models.
Variance reduction techniques have attracted growing attention from insurers as a simple and robust way to improve model efficiency. In this article, Flora Chan looks at how variance reduction can be used in improving model accuracy and goes further by drawing the link with replicating portfolios
1. Replicación de activos y pasivos . 2. Control de seguros . 3. Gerencia de riesgos . 4. Procesos estocásticos . 5. Empresas de seguros . I. Insurance matters Asia-Pacific .