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Article
Efficient computation of Solvency Capital Requirement using Multilevel Monte Carlo Methods
08 November 2022 - by Alexandre Boumezoued, Adel Cherchali, Mathieu Truc
MLMC methods represent a relevant alternative to the proxy modelling approaches commonly used in capital requirement estimation within the insurance sector.
Article
LSMC Surgery
03 September 2021 - by Adel Cherchali, Abdal Chaudhry, Michael Leitschkis, Julien Vedani
Proxy models are not always easy to validate, so we present a useful framework to make LSMC troubleshooting more accurate.