Generating unfavourable VaR scenarios under Solvency II with patchwork copulas (Q2063751): Difference between revisions

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Generating unfavourable VaR scenarios under Solvency II with patchwork copulas
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    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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