Pfeifer, Dietmar and Ragulina, Olena (2018) Generating VaR Scenarios under solvency II with product beta distributions. Risks, 6 (4). p. 122. ISSN 2227-9091

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Official URL: http://dx.doi.org/10.3390/risks6040122

Abstract

We propose a Monte Carlo simulation method to generate stress tests by VaR scenarios under Solvency II for dependent risks on the basis of observed data. This is of particular interest for the construction of Internal Models. The approach is based on former work on partition-of-unity copulas, however with a direct scenario estimation of the joint density by product beta distributions after a suitable transformation of the original data.

Item Type: Article
Uncontrolled Keywords: Solvency II; multivariate density estimation; product beta distributions; VaR estimates
Subjects: Science and mathematics > Mathematics
Divisions: Faculty of Mathematics and Science > Institute for Mathematics (IfM)
Date Deposited: 13 Sep 2019 07:44
Last Modified: 24 Sep 2019 07:31
URI: https://oops.uni-oldenburg.de/id/eprint/4178
URN: urn:nbn:de:gbv:715-oops-42592
DOI: doi:10.3390/risks6040122
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