2 papers
q-fin.CP2020
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…
q-fin.RM2019
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…