Generating unfavourable VaR scenarios under Solvency II with patchwork copulas
type: Item
instance of: scholarly article
title: Generating unfavourable VaR scenarios under Solvency II with patchwork copulas
zbMATH Open document ID: 1476.91221
author: O. Yu. Ragulina
author: Dietmar Pfeifer
published in: Dependence Modeling
publication date: 2022-01-03T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 62H05
Mathematics Subject Classification ID: 62H12
Mathematics Subject Classification ID: 62H17
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 7451617
zbMATH Keywords: Solvency II
zbMATH Keywords: copulas
zbMATH Keywords: patchwork copulas
zbMATH Keywords: Bernstein copulas
zbMATH Keywords: Monte Carlo methods
describes a project that uses: QRM
MaRDI profile type: Publication
full work available at URL: demo-2021-0115
OpenAlex ID: W3208736248
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cites work: Q3060311
DOI: 10.1515/DEMO-2021-0115
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description: scientific article; zbMATH DE number 7451617