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

Recurso electrónico / Electronic resource
Section: Articles
Title: A guide to Monte Carlo simulation concepts for assessment of risk-return profiles for regulatory purposes / Stefan GrafAuthor: Graf, Stefan
Notes: Sumario: Various 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.

Related records: En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 07/12/2020 Volúmen 10 - Número 2 - diciembre 2020 , p. 273-293Materia / lugar / evento: Matemática del seguro Prima de riesgo Simulación Monte Carlo Proyecciones Other categories: 6
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