A guide to Monte Carlo simulation concepts for assessment of risk-return profiles for regulatory purposes
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
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| 001 | MAP20220013123 | ||
| 003 | MAP | ||
| 005 | 20220504091913.0 | ||
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| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | 1 | $0MAPA20190012362$aGraf, Stefan | |
| 245 | 1 | 0 | $aA guide to Monte Carlo simulation concepts for assessment of risk-return profiles for regulatory purposes$cStefan Graf |
| 520 | $aVarious regulatory initiatives (such as the pan-European PRIIP-regulation or the German chance-risk classification for state subsidized pension products) have been introduced that require product providers to assess and disclose the risk-return profile of their issued products by means of a key information document. We will in this context outline a concept for a (forward-looking) simulation-based approach and highlight its application and advantages. For reasons of comparison, we further illustrate the performance of approximation methods based on a projection of observed returns into the future such as the CornishFisher expansion or bootstrap methods. | ||
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 4 | $0MAPA20080573386$aPrima de riesgo | |
| 650 | 4 | $0MAPA20080608606$aSimulación Monte Carlo | |
| 650 | 4 | $0MAPA20130014791$aProyecciones | |
| 773 | 0 | $wMAP20220007085$g07/12/2020 Volúmen 10 - Número 2 - diciembre 2020 , p. 273-293$tEuropean Actuarial Journal$dCham, Switzerland : Springer Nature Switzerland AG, 2021-2022 |