Full-portfolio Monte Carlo validation

Abstract

This archive contains the supplementary Monte Carlo materials accompanying the article. The files reproduce the full-portfolio numerical validation reported in Section 6.The simulation generates paths of the common Cox–Ingersoll–Ross mortality intensity and, conditional on each path, individual Cox death times. The systematic and idiosyncratic martingale components are then computed pathwise for nested homogeneous portfolios of different sizes. The resulting Monte Carlo standard deviations are compared with the exact finite-portfolio variance formulas, and the process-level convergence errors corresponding to the large-portfolio limits are also estimated.