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… Click to show full 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.
Keywords:
product beta;
scenarios solvency;
var scenarios;
beta distributions
Journal Title: Risks
Year Published: 2018
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Journal Title: Risks
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!