Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/288883 
Year of Publication: 
2020
Citation: 
[Journal:] European Actuarial Journal [ISSN:] 2190-9741 [Volume:] 10 [Issue:] 2 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2020 [Pages:] 273-293
Publisher: 
Springer, Berlin, Heidelberg
Abstract: 
Various regulatory initiatives (such as the pan-European PRIIP-regulation or the German chance-risk classification for state subsidized pension products) have been introduced that require product providers to assess and disclose the risk-return profile of their issued products by means of a key information document. We will in this context outline a concept for a (forward-looking) simulation-based approach and highlight its application and advantages. For reasons of comparison, we further illustrate the performance of approximation methods based on a projection of observed returns into the future such as the Cornish–Fisher expansion or bootstrap methods.
Subjects: 
Risk-return profiles of pension products
Customer protection
Regulatory requirements
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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