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

DOI10.1007/S13385-020-00232-3MaRDI QIDQ2219611zbMATH OpenOpenAlexFDO

Authors Stefan Graf, Ralf Korn

Publication date 20 January 2021

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

Copyright license Creative Commons Attribution 4.0 International

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

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)

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Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• Applications of the central limit theorem for pricing cliquet-style options
• Interest rate models -- theory and practice
• Monte Carlo methods and models in finance and insurance.
• PRIIP-KID: \(\mathrm{\underline {p}}\)roviding \(\mathrm{\underline{r}}\)etail \(\mathrm{\underline{i}}\)nvestors with \(\mathrm{\underline{i}}\)nappropriate \(\mathrm{\underline{p}}\)roduct information?
• The pricing of options and corporate liabilities

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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