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Showing 1 to 2 of 2 for “"Nested Simulation"”.
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Surrogate Model Assisted Nested Simulation with Applications to Variable Annuity Portfolio Valuation and Hedging
… task. In practice, the stochastic-on-stochastic nested simulation is commonly used for VA portfolio valuation and risk management. The path-dependency of the embedded guarantees and the non-homogeneity of the VA policies make the nested simulation algorithm extremely complex and time-consuming to …
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Advances in Sobol' Index Estimation: Metamodeling, Multilevel Monte Carlo Metamodeling, and Nested Simulation Techniques
… multilevel Monte Carlo (MLMC) metamodeling, and nested simulation. We develop two joint metamodel-based estimators for Sobol' indices with established asymptotic normality, enabling reliable uncertainty quantification. Our proposed MLMC metamodeling approach for variance function estimation …