Centro de Documentación de Fundación MAPFRE - A guide to Monte Carlo simulation concepts for assessment of risk-return profiles for regulatory purposes

MAP20220013123

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

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.

En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 07/12/2020 Número 2 - diciembre 2020 , p. 273-293

1. Matemática del seguro . 2. Prima de riesgo . 3. Simulación Monte Carlo . 4. Proyecciones . I. Título.