Multivariate stress scenarios and solvency

DOI10.1016/J.INSMATHECO.2011.12.005MaRDI QIDQ414588zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

stress testingconvex analysisrisk measuresSolvency IIscenario sets

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Corporate finance (dividends, real options, etc.) (91G50)

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• Asymptotics for multivariate trimming
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• Coherent measures of risk
• Convex Analysis
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• The depth function of a population distribution.
• Worst VaR scenarios with given marginals and measures of association
• Worst VaR scenarios: A remark
• Worst case risk measurement: back to the future?

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?

Describes a project that uses

Uses Software

• QRM

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