Least Squares Monte Carlo for fast and robust capital projections
By Christian Bettels, Florian Ketterer, and Michael Leitschkis
05 February 2013
Reliable capital projections are critical for the effective management of insurance business. A robust framework for the projection of Solvency II coverage ratios under different scenarios provides insurers with a useful tool. This white paper discusses a Least Squares Monte Carlo proxy modeling solution, which is less numerically burdensome than a brute-force nested stochastic approach.