Generating unfavourable VaR scenarios under Solvency II with patchwork copulas (Q2063751)
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scientific article; zbMATH DE number 7451617
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| English | Generating unfavourable VaR scenarios under Solvency II with patchwork copulas |
scientific article; zbMATH DE number 7451617 |
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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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0.8263627
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0.8226159
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0.8193952
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0.8193121
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0.8191527
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0.8188604
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0.8169154
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0.8156325
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