Multivariate stress scenarios and solvency
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Publication:414588
DOI10.1016/J.INSMATHECO.2011.12.005zbMATH Open1237.91135OpenAlexW2061017080MaRDI QIDQ414588FDOQ414588
Authors: Alexander J. McNeil, Andrew D. Smith 
Publication date: 11 May 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.12.005
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Corporate finance (dividends, real options, etc.) (91G50)
Cites Work
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- Worst VaR scenarios with given marginals and measures of association
- Worst VaR scenarios: A remark
- Halfplane trimming for bivariate distributions
- Asymptotics for multivariate trimming
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- Worst case risk measurement: back to the future?
- Bounds for functions of dependent risks
Cited In (13)
- Model uncertainty and scenario aggregation
- Asset-liability management for long-term insurance business
- Stressing dynamic loss models
- Stress scenario generation for solvency and risk management
- Multivariate geometric expectiles
- Subadditivity of value-at-risk for Bernoulli random variables
- On the computation of multivariate scenario sets for the skew-\(t\) and generalized hyperbolic families
- SAFE-SIDE SCENARIOS FOR FINANCIAL AND BIOMETRICAL RISK
- Multivariate stress scenario selection in interbank networks
- Stress scenario selection by empirical likelihood
- Foreign-currency interest-rate swaps in asset-liability management for insurers
- Systematic scenario selection: stress testing and the nature of uncertainty
- Reverse sensitivity testing: what does it take to break the model?
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