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20122020
most citedMultilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests

4 citations · 4 across the 3 of their papers we have counts for

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Showing 2019Show all

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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…