Pesquisa de referências

A guide to Monte Carlo simulation concepts for assessment of risk-return profiles for regulatory purposes

Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
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1001 ‎$0‎MAPA20190012362‎$a‎Graf, Stefan
24510‎$a‎A guide to Monte Carlo simulation concepts for assessment of risk-return profiles for regulatory purposes‎$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
7730 ‎$w‎MAP20220007085‎$g‎07/12/2020 Volúmen 10 - Número 2 - diciembre 2020 , p. 273-293‎$t‎European Actuarial Journal‎$d‎Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022