Archive

• Efficient asset allocation with least squares Monte Carlo

  23 October 2013

  Traditional methods of allocating assets fall short in several key aspects. In this paper, Romain Lombardo and Alexis Bailly show how the LSMC approach can be used to optimise asset allocation for insurers in a Solvency II world

• How to develop multi-year capital projections for the ORSA

  29 August 2013

  Solvency II firms have a lot to do to develop their modelling capabilities into a multi-period capital projections. This is why Craig Turnbull and Andy Frepp recommend insurers invest in statistically robust multi-period capital proxy functions such as least-squares Monte Carlo

• Moody's Analytics releases economic capital calculator

  15 March 2013

  Helps insurers with Solvency II internal model calculations

• Conning and Milliman link GEMS and MG-ALFA

  08 March 2013

  Milliman's actuarial modelling software will take outputs from Conning's ESG