Generating unfavourable VaR scenarios under Solvency II with patchwork copulas

DOI10.1515/DEMO-2021-0115MaRDI QIDQ2063751zbMATH OpenOpenAlexFDO

Authors O. Yu. Ragulina, Dietmar Pfeifer

Publication date 3 January 2022

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/demo-2021-0115

zbMATH Keywords

copulasMonte Carlo methodsSolvency IIBernstein copulaspatchwork copulas

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Contingency tables (62H17) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 3968787 (Why is no real title available?)
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• Copula based hierarchical risk aggregation through sample reordering
• From Bernstein polynomials to Bernstein copulas
• Handbook of solvency for actuaries and risk managers. Theory and practice.
• Heavy tails and copulas. Topics in dependence modelling in economics and finance
• New copulas based on general partitions-of-unity and their applications to risk management
• New copulas based on general partitions-of-unity and their applications to risk management. II.
• New copulas based on general partitions-of-unity. III: The continuous case
• On copulas and their diagonals
• On distributions of order statistics for absolutely continuous copulas with applications to reliability
• Principles of copula theory
• Quantitative risk management. Concepts, techniques and tools
• Risk aggregation with empirical margins: Latin hypercubes, empirical copulas, and convergence of sum distributions
• Solvency II solvency capital requirement for life insurance companies based on expected shortfall
• Solvency II: stability problems with the SCR aggregation formula

Cited in

(2)

• Joint modelling of the body and tail of bivariate data
• Ordinal sums: from triangular norms to bi- and multivariate copulas

Describes a project that uses

Uses Software

• QRM

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