可变年金风险度量的动态重要性分配嵌套模拟

IF 1.5 Q3 BUSINESS, FINANCE Annals of Actuarial Science Pub Date : 2020-11-27 DOI:10.2139/ssrn.3738777
Ou Dang, M. Feng, M. Hardy
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引用次数: 2

摘要

摘要估计复杂变量年金投资组合的尾部风险度量是一项重要的企业风险管理任务,通常需要嵌套模拟。在嵌套模拟中,外部模拟阶段涉及在真实世界衡量标准下预测关键风险因素的情景,而内部模拟用于在风险中性衡量标准下,在不同复杂性的保证下评估回报。在本文中,我们提出并分析了一种有效的模拟方法,该方法将内部模拟动态分配给最有可能产生更大损失的特定外部场景。这些场景是使用代理计算来识别的,该计算仅用于对外部场景进行排名,而不是直接估计尾部风险度量。由于代理排名通常不会提供与外部场景的真实排名的完美匹配,我们基于伴随的订单统计来计算一个度量,以测试是否需要进一步的尾部场景来确保在给定的置信度下捕获真实的尾部场景。这个过程,我们称之为动态重要性分配嵌套模拟方法,自动调整代理计算和真实估值之间的关系,并在代理不够准确时发出信号。
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Dynamic importance allocated nested simulation for variable annuity risk measurement
Abstract Estimating tail risk measures for portfolios of complex variable annuities is an important enterprise risk management task which usually requires nested simulation. In the nested simulation, the outer simulation stage involves projecting scenarios of key risk factors under the real-world measure, while the inner simulations are used to value pay-offs under guarantees of varying complexity, under a risk-neutral measure. In this paper, we propose and analyse an efficient simulation approach that dynamically allocates the inner simulations to the specific outer scenarios that are most likely to generate larger losses. These scenarios are identified using a proxy calculation that is used only to rank the outer scenarios, not to estimate the tail risk measure directly. As the proxy ranking will not generally provide a perfect match to the true ranking of outer scenarios, we calculate a measure based on the concomitant of order statistics to test whether further tail scenarios are required to ensure, with given confidence, that the true tail scenarios are captured. This procedure, which we call the dynamic importance allocated nested simulation approach, automatically adjusts for the relationship between the proxy calculations and the true valuations and also signals when the proxy is not sufficiently accurate.
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来源期刊
CiteScore
3.10
自引率
5.90%
发文量
22
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