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Efficient evaluation of alternative reinsurance strategies using control variates

Recurso electrónico / Electronic resource
MAP20220019958
Kyriakou, Ioannis
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.