Generating unfavourable VaR scenarios under Solvency II with patchwork copulas (Q2063751)

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Generating unfavourable VaR scenarios under Solvency II with patchwork copulas
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    title
    Generating unfavourable VaR scenarios under Solvency II with patchwork copulas (English)
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    author
    Olena Ragulina
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    Dietmar Pfeifer
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    publication date
    3 January 2022
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    Mathematics Subject Classification ID
    91G70
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    62H05
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    62H12
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    62H17
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    91G60
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    zbMATH DE Number
    7451617
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    zbMATH Keywords
    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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