Multivariate stress scenarios and solvency

DOI10.1016/j.insmatheco.2011.12.005zbMath1237.91135OpenAlexW2061017080MaRDI QIDQ414588

J. Herrera, H. S. Yoon

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

risk measuresconvex analysisstress testingSolvency IIscenario sets

Mathematics Subject Classification ID

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

Related Items

Asset-liability management for long-term insurance business, Reverse sensitivity testing: what does it take to break the model?, On the computation of multivariate scenario sets for the skew-\(t\) and generalized hyperbolic families, Foreign-currency interest-rate swaps in asset-liability management for insurers, Multivariate geometric expectiles, Multivariate stress scenario selection in interbank networks, Stressing dynamic loss models, SAFE-SIDE SCENARIOS FOR FINANCIAL AND BIOMETRICAL RISK, Subadditivity of value-at-risk for Bernoulli random variables

Uses Software

• QRM

Cites Work

• Worst case risk measurement: back to the future?
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• Halfplane trimming for bivariate distributions
• Multivariate analysis by data depth: Descriptive statistics, graphics and inference. (With discussions and rejoinder)
• Coherent Measures of Risk
• Convex Analysis
• Stochastic finance. An introduction in discrete time
• The depth function of a population distribution.
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