Generating unfavourable VaR scenarios under Solvency II with patchwork copulas

DOI10.1515/demo-2021-0115zbMath1476.91221MaRDI QIDQ2063751

Dietmar Pfeifer, Olena Ragulina

Publication date: 3 January 2022

Published in: Dependence Modeling (Search for Journal in Brave)

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

zbMATH Keywords

copulas; Monte Carlo methods; Solvency II; Bernstein copulas; patchwork copulas

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

91G60: Numerical methods (including Monte Carlo methods)

91G70: Statistical methods; risk measures

62H05: Characterization and structure theory for multivariate probability distributions; copulas

62H17: Contingency tables

Uses Software

• QRM