A guide to Monte Carlo simulation concepts for assessment of risk-return profiles for regulatory purposes

DOI10.1007/S13385-020-00232-3zbMATH Open1457.91331OpenAlexW3027492219MaRDI QIDQ2219611FDOQ2219611

Authors: Stefan Graf, Ralf Korn 

Publication date: 20 January 2021

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-020-00232-3

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zbMATH Keywords

customer protectionregulatory requirementsrisk-return profiles of pension products

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Actuarial mathematics (91G05) Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• Interest rate models -- theory and practice
• Monte Carlo methods and models in finance and insurance.
• Applications of the central limit theorem for pricing cliquet-style options
• PRIIP-KID: \(\mathrm{\underline {p}}\)roviding \(\mathrm{\underline{r}}\)etail \(\mathrm{\underline{i}}\)nvestors with \(\mathrm{\underline{i}}\)nappropriate \(\mathrm{\underline{p}}\)roduct information?

Cited In (6)

• Discussion on: ``A guide to Monte Carlo simulation concepts for assessment of risk-return profiles for regulatory purposes (Graf and Korn)
• PRIIP-KID: appearances are deceiving or why to expect the unexpected in a generic KID for multiple option products
• PRIIP-KID: \(\mathrm{\underline {p}}\)roviding \(\mathrm{\underline{r}}\)etail \(\mathrm{\underline{i}}\)nvestors with \(\mathrm{\underline{i}}\)nappropriate \(\mathrm{\underline{p}}\)roduct information?
• Efficient evaluation of alternative reinsurance strategies using control variates
• Efficient simulation and valuation of equity-indexed annuities under a two-factor G2++ model
• Discussion on: ``Yield curve shapes of Vasiçek interest rate models, measure transformations and an application for the simulation of pension products

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