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N. Sumarti

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Open access Sep 2026

A Student-t Copula Economic Scenario Generator for Emerging-Market Liability-Driven Investment: Density Forecasting, Tail Dependence, and Indonesian Evidence

Pension funds and insurers in emerging markets size long-horizon capital with economic scenario generators (ESGs)—econometrically, simulators of a multivariate predictive density. The production benchmark draws its innovations by Gaussian Cholesky factorization, forcing thin marginal tails and zero joint tail dependenc...

Fathimah Al-Ma'shumah, N. Sumarti · 0 citations

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