Sciweavers

Share
WSC
2000

Quasi-Monte Carlo methods in cash flow testing simulations

9 years 5 months ago
Quasi-Monte Carlo methods in cash flow testing simulations
What actuaries call cash flow testing is a large-scale simulation pitting a company's current policy obligation against future earnings based on interest rates. While life contingency issues associated with contract payoff are a mainstay of the actuarial sciences, modeling the random fluctuations of US Treasury rates is less studied. Furthermore, applying standard simulation techniques, such as the Monte Carlo method, to actual multi-billion dollar companies produce a simulation that can be computationally prohibitive. In practice, only hundreds of sample paths can be considered, not the usual hundreds of thousands one might expect for a simulation of this complexity. Hence, insurance companies have a desire to accelerate the convergence of the estimation procedure. This paper reports the results of cash flow testing simulations performed for Conseco L.L.C. using so-called quasi-Monte Carlo techniques. In these, pseudo-random number generation is replaced with deterministic low d...
Michael G. Hilgers
Added 01 Nov 2010
Updated 01 Nov 2010
Type Conference
Year 2000
Where WSC
Authors Michael G. Hilgers
Comments (0)
books