STAR-seminars: Ralf Korn

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The webinars will take place on Zoom and a link to the virtual room will be sent out to all those who registered at the registration page.


Speaker: Ralf Korn (Department of Mathematics, TU Kaiserslautern)

Title: Least-Squares MC for Proxy Modeling in Life Insurance: Linear Regression and Neural Networks

Abstract: The Solvency Capital Requirement (SCR) is the amount of Available Capital that an insurer has to provide to be solvent by the end of the year with a probability of (at least) 99.5%. Due to regulations, the SCR should be calculated from the distribution of the one-year loss  if the insurer uses an interal model. Given the complicated cash flow projections of a life insurer, this calculation is a tremendous task and cannot be performed by a crude Monte Carlo approach. In this talk, we show how to overcome computational complexity by using the so called least-squares Monte Carlo approach in combination with both linear regression and a feedforward neural network. Here, it is particularly challenging to obtain the so-called ground truth to calibrate our models.


This series of webinars addresses all interested people in probability, stochastic analysis, control, risk evaluation, statistics, with a view towards applications, in particular to renewable energy markets and production. This series brings together the major research themes of the projects STORM, SCROLLER, and SPATUS

Published May 25, 2021 3:59 PM - Last modified Aug. 20, 2021 8:41 AM