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A guide to Monte Carlo simulation concepts for assessment of risk-return profiles for regulatory purposes

: Graf, S.; Korn, R.

Volltext ()

European actuarial journal 10 (2020), Nr.2, S.273-293
ISSN: 2190-9733
ISSN: 2190-9741
Zeitschriftenaufsatz, Elektronische Publikation
Fraunhofer ITWM ()

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.