Generating unfavourable VaR scenarios under Solvency II with patchwork copulas (Q2063751): Difference between revisions
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| Property / author: Dietmar Pfeifer / rank | |||
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Latest revision as of 23:06, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Generating unfavourable VaR scenarios under Solvency II with patchwork copulas |
scientific article |
Statements
Generating unfavourable VaR scenarios under Solvency II with patchwork copulas (English)
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3 January 2022
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Solvency II
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copulas
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patchwork copulas
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Bernstein copulas
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Monte Carlo methods
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