Multinomial backtesting of distortion risk measures

被引：0
|
作者：
Bettels, Soeren [1 ]
Kim, Sojung [1 ]
Weber, Stefan [1 ,2 ,3 ]
机构：
[1] Leibniz Univ Hannover, IVFM & House Insurance, Hannover, Germany
[2] Leibniz Univ Hannover, House Insurance, Welfengarten 1, D-30167 Hannover, Germany
[3] Leibniz Univ Hannover, Inst Actuarial & Financial Math, Welfengarten 1, D-30167 Hannover, Germany
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2024年 / 119卷
关键词：
Distortion risk measures; Backtesting; Multinomial tests; Solvency capital; Internal models; DENSITY FORECASTS; REPRESENTATION;
D O I：
10.1016/j.insmatheco.2024.08.003
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We extend the scope of risk measures for which backtesting methods are available by proposing a new approach for general distortion risk measures. The method relies on a stratification and randomization of risk levels. We illustrate the performance of our backtest in numerical case studies.
引用
收藏
页码：130 / 145
页数：16
相关论文
共 50 条
  • [1] Estimation and backtesting of risk measures with emphasis on distortion risk measures
    Tsukahara, Hideatsu
    JAPANESE JOURNAL OF STATISTICS AND DATA SCIENCE, 2024, 7 (02) : 1085 - 1110
  • [2] Risk Measures: Robustness, Elicitability, and Backtesting
    He, Xue Dong
    Kou, Steven
    Peng, Xianhua
    ANNUAL REVIEW OF STATISTICS AND ITS APPLICATION, 2022, 9 : 141 - 166
  • [3] Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures
    Banulescu-Radu, Denisa
    Hurlin, Christophe
    Leymarie, Jeremy
    Scaillet, Olivier
    MANAGEMENT SCIENCE, 2021, 67 (09) : 5730 - 5754
  • [4] Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
    Cai, Jun
    Wang, Ying
    Mao, Tiantian
    INSURANCE MATHEMATICS & ECONOMICS, 2017, 75 : 105 - 116
  • [5] Backtesting general spectral risk measures with application to expected shortfall
    Costanzino, Nick
    Curran, Mike
    JOURNAL OF RISK MODEL VALIDATION, 2015, 9 (01): : 21 - 31
  • [6] Estimation of Distortion Risk Measures
    Tsukahara, Hideatsu
    JOURNAL OF FINANCIAL ECONOMETRICS, 2014, 12 (01) : 213 - 235
  • [7] Robust distortion risk measures
    Bernard, Carole
    Pesenti, Silvana M.
    Vanduffel, Steven
    MATHEMATICAL FINANCE, 2024, 34 (03) : 774 - 818
  • [8] Properties of Distortion Risk Measures
    Alejandro Balbás
    José Garrido
    Silvia Mayoral
    Methodology and Computing in Applied Probability, 2009, 11
  • [9] Properties of Distortion Risk Measures
    Balbas, Alejandro
    Garrido, Jose
    Mayoral, Silvia
    METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2009, 11 (03) : 385 - 399
  • [10] Random distortion risk measures
    Zang, Xin
    Jiang, Fan
    Xia, Chenxi
    Yang, Jingping
    INSURANCE MATHEMATICS & ECONOMICS, 2024, 116 : 51 - 73
12345