• About us
    • Our USP
    • Our Services
    • Our Profiles
      • Experts
      • Analysts
      • Talent Consolidation Program (TCP)
      • Talent Accelerator Program (TAP)
    • Background & Values
  • Expertise
  • Team
  • Publications
    • Detra Notes
    • FAQctuary
  • Learning
  • News
  • Contact us
    • Connect with us
    • Work with us
    • About us
      • Our USP
      • Our Services
      • Our Profiles
        • Experts
        • Analysts
        • Talent Consolidation Program (TCP)
        • Talent Accelerator Program (TAP)
      • Background & Values
    • Expertise
    • Team
    • Publications
      • Detra Notes
      • FAQctuary
    • Learning
    • News
    • Contact us
      • Connect with us
      • Work with us
      • About us
        • Our USP
        • Our Services
        • Our Profiles
          • Experts
          • Analysts
          • Talent Consolidation Program (TCP)
          • Talent Accelerator Program (TAP)
        • Background & Values
      • Expertise
      • Team
      • Publications
        • Detra Notes
        • FAQctuary
      • Learning
      • News
      • Contact us
        • Connect with us
        • Work with us
        • About us
          • Our USP
          • Our Services
          • Our Profiles
            • Experts
            • Analysts
            • Talent Consolidation Program (TCP)
            • Talent Accelerator Program (TAP)
          • Background & Values
        • Expertise
        • Team
        • Publications
          • Detra Notes
          • FAQctuary
        • Learning
        • News
        • Contact us
          • Connect with us
          • Work with us
          28.03.2023 | Lunch & Learn | Risk management with Local Least Squares Monte-Carlo (EN)
          13/02/2023
          21.03.2023 | Lunch & Learn | Gestion des risques avec les moindres carrés locaux et simulations de Monte-Carlo (FR)
          27/02/2023
          DETRAnote_2023
          Detra Note 2023-1 : Risk management with Local Least Squares Monte-Carlo
          We are pleased to share with you our first Detra Note of the year on Risk management with Local Least Squares Monte-Carlo published by our Scientific Director, Donatien Hainaut, and our TAP Consultant, Adnane Akbaraly. 

          The method of least squares Monte-Carlo (LSMC) has become a standard in the insurance and financial sectors for computing the exposure of a company to market risk. The sensitive point of this procedure is the non-linear regression of simulated responses to risk factors. This article proposes a novel approach for this step, based on an apriori segmentation of responses. Using a K-means algorithm, we identify clusters of responses that are next locally regressed on corresponding risk factors. A global function of regression is obtained by combining local models and a logistic regression. The effciency of the Local Least squares Monte-Carlo (LLSMC) is checked in two illustrations. The first one focuses on butterfly and bull trap options in a Heston stochastic volatility model. The second illustration analyzes the exposure to risks of a participating life insurance.
          Share

          Related posts

          27/02/2023

          21.03.2023 | Lunch & Learn | Gestion des risques avec les moindres carrés locaux et simulations de Monte-Carlo (FR)


          Read more
          13/02/2023

          28.03.2023 | Lunch & Learn | Risk management with Local Least Squares Monte-Carlo (EN)


          Read more
          16/01/2023

          Welcome to Serge, CEO France


          Read more
          © 2020 detralytics.com. All Rights Reserved.
          • Cookie Policy (EU)
          • Terms & conditions – Disclaimer
          Manage Cookie Consent
          To provide the best experiences, we use technologies like cookies to store and/or access device information. Consenting to these technologies will allow us to process data. Not consenting or withdrawing consent, may adversely affect certain features and functions.
          Functional Always active
          The technical storage or access is strictly necessary for the legitimate purpose of enabling the use of a specific service explicitly requested by the subscriber or user, or for the sole purpose of carrying out the transmission of a communication over an electronic communications network.
          Preferences
          The technical storage or access is necessary for the legitimate purpose of storing preferences that are not requested by the subscriber or user.
          Statistics
          The technical storage or access that is used exclusively for statistical purposes. The technical storage or access that is used exclusively for anonymous statistical purposes. Without a subpoena, voluntary compliance on the part of your Internet Service Provider, or additional records from a third party, information stored or retrieved for this purpose alone cannot usually be used to identify you.
          Marketing
          The technical storage or access is required to create user profiles to send advertising, or to track the user on a website or across several websites for similar marketing purposes.
          Manage options Manage services Manage vendors Read more about these purposes
          View preferences
          {title} {title} {title}

          Insert/edit link

          Enter the destination URL

          Or link to existing content

            No search term specified. Showing recent items. Search or use up and down arrow keys to select an item.