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 …

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 …

The nested-simulation is commonly used for calculating the predictive distribution of the total variable annuity (VA …) liabilities of large VA portfolios. Due to the large numbers of policies, inner-loops and outer-loops, running the nested-simulation … models is incorporated into the nested-simulation algorithm so that the relationship between the inputs and the outputs of a …

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 …

Risk measurement for derivative portfolios almost invariably calls for nested simulation. In the outer step one draws … be unacceptable, and adopt a variety of second-best pricing techniques to avoid the inner simulation. In this paper, we …

; Lien, 2002; Christensen and Platen, 2007). We employ a brief simulation study to assess the impact of deviations from …