Fast remote but not extreme quantiles with multiple factors. Applications to Solvency II and Enterprise Risk Management
AbstractFor operational purposes, in Enterprise Risk Management or in insurance for example, it may be important to estimate remote (but not extreme) quantiles of some function ƒ of some random vector. The call to ƒ may be time- and resource-consuming so that one aims at reducing as much as possible the number of calls to ƒ. In this paper, we propose some ways to address this problem of general interest. We then numerically analyze the performance of the method on insurance and Enterprise Risk Management real-world case studies.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by HAL in its series Post-Print with number hal-00517766.
Date of creation: 2011
Date of revision:
Publication status: Published, European Actuarial Journal, 2011, 1, 1, 131-157
Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00517766
Contact details of provider:
Web page: http://hal.archives-ouvertes.fr/
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Laurent Devineau & Stéphane Loisel, 2009. "Risk aggregation in Solvency II: How to converge the approaches of the internal models and those of the standard formula?," Post-Print, HAL hal-00403662, HAL.
- repec:cup:cbooks:9780521496032 is not listed on IDEAS
- Michael B. Gordy & Sandeep Juneja, 2008.
"Nested simulation in portfolio risk measurement,"
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
2008-21, Board of Governors of the Federal Reserve System (U.S.).
- Laurent Devineau & Stéphane Loisel, 2009. "Construction d'un algorithme d'accélération de la méthode des «simulations dans les simulations» pour le calcul du capital économique Solvabilité II," Post-Print, HAL hal-00365363, HAL.
- Cousin, Areski & Di Bernardino, Elena, 2014. "On multivariate extensions of Conditional-Tail-Expectation," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 272-282.
- Areski Cousin & Elena Di Bernardinoy, 2013. "On Multivariate Extensions of Conditional-Tail-Expectation," Working Papers hal-00877386, HAL.
- Cousin, Areski & Di Bernardino, Elena, 2013. "On multivariate extensions of Value-at-Risk," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 119(C), pages 32-46.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD).
If references are entirely missing, you can add them using this form.