Construction of an acceleration algorithm of the Nested Simulations method for the calculation of the Solvency II economic capital

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By Laurent Devineau, Stéphane Loisel | 30 July 2009
The algorithm presented in this paper allows for a significant reduction of the number of simulations applied in the framework of a Nested Simulation (NS) projection. The "NS-accelerator" calculation automaton is based on the idea of "locating," through the use of risk factors, the situations that are the most adverse in terms of solvency. The project time reduction thus obtained makes the NS approach feasible regardless of company size or structure.