Centro de Documentacion de Fundación MAPFRE - Efficient evaluation of alternative reinsurance strategies using control variates

MAP20220019958

Efficient evaluation of alternative reinsurance strategies using control variates / Ioannis Kyriakou, Andreas Tsanakas

Sumario: In this short communication, we present a new, simple control-variate Monte Carlo procedure for enhancing the evaluation accuracy of alternative reinsurance strategies that an insurance company might adopt.

En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 06/06/2022 Volúmen 12 - Número 1 - junio 2022 , p. 425-431

1. Mercado de reaseguros . 2. Cálculo actuarial . 3. Simulación Monte Carlo . I. Título.