Least Squares Monte Carlo for fast and robust capital projections
ByChristian Bettels, Florian Ketterer, and Michael Leitschkis
5 February 2013
Least Squares Monte Carlo for fast and robust capital projections
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.