
Publica
Hier finden Sie wissenschaftliche Publikationen aus den Fraunhofer-Instituten. A guide to Monte Carlo simulation concepts for assessment of risk-return profiles for regulatory purposes
| European actuarial journal 10 (2020), Nr.2, S.273-293 ISSN: 2190-9733 ISSN: 2190-9741 |
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| Englisch |
| Zeitschriftenaufsatz, Elektronische Publikation |
| Fraunhofer ITWM () |
Abstract
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.