Construction of an acceleration algorithm of the Nested Simulations method for the calculation of the Solvency II economic capital
By Laurent Devineau and Stéphane Loisel
30 July 2009
The algorithm presented in this paper allows for a significant reduction of the number of simulations applied in the framework of a Nested Simulation (NS) projection. The "NS-accelerator" calculation automaton is based on the idea of "locating," through the use of risk factors, the situations that are the most adverse in terms of solvency. The project time reduction thus obtained makes the NS approach feasible regardless of company size or structure.
About the Author(s)
Laurent Devineau
Stéphane Loisel
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Construction of an acceleration algorithm of the Nested Simulations method for the calculation of the Solvency II economic capital
This paper presents an algorithm that can significantly reduce the number of simulations applied in a Nested Simulation (NS) projection.
Laurent Devineau, Stéphane Loisel