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

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<title>A guide to Monte Carlo simulation concepts for assessment of risk-return profiles for regulatory purposes</title>
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<namePart>Graf, Stefan</namePart>
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<abstract displayLabel="Summary">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.

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<note type="statement of responsibility">Stefan Graf</note>
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<topic>Matemática del seguro</topic>
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<topic>Prima de riesgo</topic>
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<topic>Simulación Monte Carlo</topic>
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<topic>Proyecciones</topic>
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<title>European Actuarial Journal</title>
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<publisher>Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022</publisher>
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<identifier type="local">MAP20220007085</identifier>
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<text>07/12/2020 Número 2 - diciembre 2020 , p. 273-293</text>
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