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

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<dc:creator>Graf, Stefan</dc:creator>
<dc:date>2020-12-07</dc:date>
<dc:description xml:lang="es">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.

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<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/179540.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:subject xml:lang="es">Prima de riesgo</dc:subject>
<dc:subject xml:lang="es">Simulación Monte Carlo</dc:subject>
<dc:subject xml:lang="es">Proyecciones</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">A guide to Monte Carlo simulation concepts for assessment of risk-return profiles for regulatory purposes</dc:title>
<dc:relation xml:lang="es">En: European Actuarial Journal. - Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022. - 07/12/2020 Número 2 - diciembre 2020 , p. 273-293</dc:relation>
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