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.
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Least Squares Monte Carlo for fast and robust capital projections
Least Squares Monte Carlo approach offers advantages for Solvency II coverage ratio projections.
Christian Bettels, Florian Ketterer, Michael Leitschkis