4 citations · 4 across the 1 of their papers we have counts for
3 papers
Optimized Multi-Level Monte Carlo Parametrization and Antithetic Sampling for Nested Simulations
Alexandre Boumezoued, Adel Cherchali, Vincent Lemaire +2
Estimating risk measures such as large loss probabilities and Value-at-Risk is fundamental in financial risk management and often relies on computationally intensive nested Monte C…
Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests
Aurélien Alfonsi, Adel Cherchali, Jose Arturo Infante Acevedo
This paper studies the multilevel Monte-Carlo estimator for the expectation of a maximum of conditional expectations. This problem arises naturally when considering many stress tes…
A full and synthetic model for Asset-Liability Management in life insurance, and analysis of the SCR with the standard formula
Aurélien Alfonsi, Adel Cherchali, Jose Arturo Infante Acevedo
The aim of this paper is to introduce a synthetic ALM model that catches the main specificity of life insurance contracts. First, it keeps track of both market and book values to a…