A guide to Monte Carlo simulation concepts for assessment of risk-return profiles for regulatory purposes
- Various regulatory initiatives (such as the pan-European PRIIP-regulation or the German chance-risk classification for state subsidized pension products) have been introduced that require product providers to assess and disclose the risk-return profile of their issued products by means of a key information document. We will in this context outline a concept for a (forward-looking) simulation-based approach and highlight its application and advantages. For reasons of comparison, we further illustrate the performance of approximation methods based on a projection of observed returns into the future such as the Cornish–Fisher expansion or bootstrap methods.
Author: | Stefan Graf, Ralf KornORCiD |
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URN: | urn:nbn:de:hbz:386-kluedo-77268 |
DOI: | https://doi.org/10.1007/s13385-020-00232-3 |
ISSN: | 2190-9741 |
Parent Title (English): | European Actuarial Journal |
Publisher: | Springer Nature - Springer |
Document Type: | Article |
Language of publication: | English |
Date of Publication (online): | 2024/02/29 |
Year of first Publication: | 2020 |
Publishing Institution: | Rheinland-Pfälzische Technische Universität Kaiserslautern-Landau |
Date of the Publication (Server): | 2024/02/29 |
Issue: | 10 |
Page Number: | 21 |
Source: | https://link.springer.com/article/10.1007/s13385-020-00232-3 |
Faculties / Organisational entities: | Kaiserslautern - Fachbereich Mathematik |
DDC-Cassification: | 5 Naturwissenschaften und Mathematik / 510 Mathematik |
Collections: | Open-Access-Publikationsfonds |
Licence (German): | Zweitveröffentlichung |