Technical papers / Life & Pension Risk
Stress testing with fully flexible causal inputs
Original headline:
Source: Life & Pension Risk
Propagating causal stress tests on selected risk factors to all the risk drivers is a challenging task. Attilio Meucci relies on entropy pooling to address this issue
Original headline:
Source: Life & Pension Risk
Simon Cedervall and Vladimir Piterbarg develop a new vanilla model that directly links constant maturity swap (CMS) and payment convexity in general payouts to volatilities of swaptions of all relevant...
Original headline:
Source: Life & Pension Risk
The value-at-risk of portfolios needs to account for non-linear effects in the loss distribution’s dependence on risk factors. Using the classical Cornish-Fisher expansion, Helmut Lutz and Carsten Wehn...
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More Technical papers / Life & Pension Risk articles
Perturbed Gaussian copula: introducing the skew effect in co-dependence...
Published online only
Source: Life & Pension Risk
Gaussian copula models are often used in the industry when single-asset information is quoted but little is known about their joint relation. These models may arise from correlated stochastic Brownian processes with deterministic volatility and correlation....
A historical-parametric hybrid VAR
Original headline:
Source: Life & Pension Risk
The calculation of value-at-risk by historical simulation suffers increasingly from the problem of missing market data as the number of time series being included grows. This problem, therefore, tends to be particularly severe when VAR is used for calculating...
Sponsor covenants in risk-based capital
Original headline:
Source: Life & Pension Risk
With a second European Union consultation on moving pension fund capital requirements on to a more market-consistent, risk-based capital framework, many have been alarmed at the idea of heavy Solvency II-style requirements for retirement schemes. But...
Market-consistent equity risk premiums
Published online only
Source: Life & Pension Risk
The capital asset pricing model used to determine excess return for a given risk level and allocate assets typically uses historical data, which can be a poor predictor of risk. By adapting the model to be consistent with market-implied distributions,...
A new breed of copulas for risk and portfolio management
Original headline:
Source: Life & Pension Risk
Attilio Meucci introduces the copula-marginal algorithm, a commercially viable technique to dramatically expand the types and uses of copulas in financial applications
Spread options, Farkas's lemma and linear programming
Original headline:
Source: Life & Pension Risk
Vladimir Piterbarg derives necessary and sufficient conditions for the existence of a joint distribution consistent with given marginals and the distribution of the spread in terms of no-arbitrage conditions among certain payouts. He also proposes a generic...
Confidence in controlling risk measures
Published online only
Source: Life & Pension Risk
Insurers increasingly use stochastic simulation approaches for estimating risk capital, but numerical errors are rarely measured. A control variate method can improve the accuracy dramatically without increasing the number of simulations.
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