论文标题
用拼布库属生成不利的var场景
Generating unfavourable VaR scenarios with patchwork copulas
论文作者
论文摘要
本文的核心思想是为多变量库卢斯提供一般简单的拼布构建原理，该原理在维护给定边缘分布的同时，在维护给定的边缘分布的同时，会产生不利的var（即处于风险的价值）场景。对于欧盟偿付能力II下的保险行业内部模型的建设特别令人感兴趣。该方法用19维的现实生活数据集的保险损失示例。
The central idea of the paper is to present a general simple patchwork construction principle for multivariate copulas that create unfavourable VaR (i.e. Value at Risk) scenarios while maintaining given marginal distributions. This is of particular interest for the construction of Internal Models in the insurance industry under Solvency II in the European Union. The method is exemplified with a 19-dimensional real-life data set of insurance losses.
