Generating unfavourable VaR scenarios under Solvency II with patchwork copulas
DOI10.1515/DEMO-2021-0115zbMATH Open1476.91221OpenAlexW3208736248MaRDI QIDQ2063751FDOQ2063751
Authors: O. Yu. Ragulina, Dietmar Pfeifer 
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
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Cites Work
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- Copula based hierarchical risk aggregation through sample reordering
- Handbook of solvency for actuaries and risk managers. Theory and practice.
- New copulas based on general partitions-of-unity and their applications to risk management
- On copulas and their diagonals
- On distributions of order statistics for absolutely continuous copulas with applications to reliability
- Risk aggregation with empirical margins: Latin hypercubes, empirical copulas, and convergence of sum distributions
- 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
- Heavy tails and copulas. Topics in dependence modelling in economics and finance
- Solvency II: stability problems with the SCR aggregation formula
- Solvency II solvency capital requirement for life insurance companies based on expected shortfall
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