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EAA Web Session: Solvency II Internal Models: Which Techniques for A New Wave?
9. November, 10:00 - 12:00
In the context where further new capital models are under recent development, especially in Europe under Solvency II, the aim of this web session is to provide an overview of the recently developed modelling techniques related to the derivation of full distributions for the calculation of the capital requirement within Internal Models.
The web session will provide a specific emphasis on enhancements of the Least Square Monte Carlo (LSMC) method, including refining their calibration and validation, as well as the development of the so-called Multi-Level Monte Carlo (MLMC) method, allowing for a smart allocation of the inner and outer simulations in any Nested Simulation approach.