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- W2897612821 abstract "We propose a Monte Carlo simulation method to generate stress tests by VaR scenarios under Solvency II for dependent risks on the basis of observed data. This is of particular interest for the construction of Internal Models. The approach is based on former work on partition-of-unity copulas, however with a direct scenario estimation of the joint density by product beta distributions after a suitable transformation of the original data." @default.
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- W2897612821 date "2018-10-18" @default.
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- W2897612821 title "Generating VaR Scenarios under Solvency II with Product Beta Distributions" @default.
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- W2897612821 doi "https://doi.org/10.3390/risks6040122" @default.
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