Generating unfavourable VaR scenarios under Solvency II with patchwork copulas

DOI10.1515/demo-2021-0115zbMath1476.91221OpenAlexW3208736248MaRDI QIDQ2063751

Olena 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

zbMATH Keywords

copulasMonte Carlo methodsSolvency IIBernstein copulaspatchwork copulas

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Contingency tables (62H17)

Related Items (2)

Joint modelling of the body and tail of bivariate data ⋮ Ordinal sums: from triangular norms to bi- and multivariate copulas

Uses Software

• QRM

Cites Work

• New copulas based on general partitions-of-unity and their applications to risk management
• On copulas and their diagonals
• Risk aggregation with empirical margins: Latin hypercubes, empirical copulas, and convergence of sum distributions
• An introduction to copulas.
• Solvency II solvency capital requirement for life insurance companies based on expected shortfall
• 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
• Copula based hierarchical risk aggregation through sample reordering
• Solvency II: stability problems with the SCR aggregation formula
• Heavy Tails and Copulas
• Principles of Copula Theory
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