Generating unfavourable VaR scenarios with patchwork copulas

Dietmar Pfeifer and Olena Ragulina

Papers from arXiv.org

Abstract: The central idea of the paper is to present a general simple patchwork construction principle for multivariate copulas that create unfavourable VaR (i.e. Value at Risk) scenarios while maintaining given marginal distributions. This is of particular interest for the construction of Internal Models in the insurance industry under Solvency II in the European Union. The method is exemplified with a 19-dimensional real-life data set of insurance losses.

Date: 2020-11, Revised 2021-05
New Economics Papers: this item is included in nep-ias and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2011.06281

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