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Open AccessArticle

Generating VaR Scenarios under Solvency II with Product Beta Distributions

1
School of Mathematics and Science, Institute of Mathematics, Carl von Ossietzky Universität Oldenburg, D-26111 Oldenburg, Germany
2
Department of Probability Theory, Statistics and Actuarial Mathematics, Taras Shevchenko National University of Kyiv, 64 Volodymyrska Str., 01601 Kyiv, Ukraine
*
Author to whom correspondence should be addressed.
Risks 2018, 6(4), 122; https://doi.org/10.3390/risks6040122
Received: 18 September 2018 / Revised: 14 October 2018 / Accepted: 17 October 2018 / Published: 18 October 2018
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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. View Full-Text
Keywords: Solvency II; multivariate density estimation; product beta distributions; VaR estimates Solvency II; multivariate density estimation; product beta distributions; VaR estimates
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Pfeifer, D.; Ragulina, O. Generating VaR Scenarios under Solvency II with Product Beta Distributions. Risks 2018, 6, 122.

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