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Economic Scenario Generators and Solvency II ‐ Abstract of the Discussion

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  • Varnell, Elliot

Abstract

This abstract relates to the following paper:VarnellE.M.Economic Scenario Generators and Solvency II. British Actuarial Journal, doi:10.1017/S1357321711000079

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  • Varnell, Elliot, 2011. "Economic Scenario Generators and Solvency II ‐ Abstract of the Discussion," British Actuarial Journal, Cambridge University Press, vol. 16(1), pages 161-179, May.
    • Handle: RePEc:cup:bracjl:v:16:y:2011:i:01:p:161-179_00
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    Cited by:

    1. Gan Guojun & Valdez Emiliano A., 2017. "Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets," Dependence Modeling, De Gruyter, vol. 5(1), pages 354-374, December.
    2. Klerkx, Rik & Pelsser, Antoon, 2022. "Narrative-based robust stochastic optimization," Journal of Economic Behavior & Organization, Elsevier, vol. 196(C), pages 266-277.
    3. Pfeifer Dietmar & Ragulina Olena, 2021. "Generating unfavourable VaR scenarios under Solvency II with patchwork copulas," Dependence Modeling, De Gruyter, vol. 9(1), pages 327-346, January.

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