the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

models is incorporated into the nested-simulation algorithm so that the relationship between the inputs and the outputs of a … simulation model is approximated by various statistical models. As a result, the nested-simulation algorithm can be run with much …The nested-simulation is commonly used for calculating the predictive distribution of the total variable annuity (VA …

Carlo simulation engine for valuing the synthetic portfolio. In addition, this paper develops benchmark datasets of fair …

VaR calculation that will be developed in the form of High-order kernel estimator of VaR with historical simulation method … with Historical Simulation estimation methods and the combination of high order kernels increase with increasing order … kernel estimates and tend to be larger than the Historical Simulation estimation methods. Statistical properties indicates …

. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration … model. Using this class of models and the proposed inferential technique, we are able to connect estimation and model …. We distinguish between models with a normal and Student <I>t</I> distribution since the latter typically provides a …