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
  • [21] Properties of distortion risk measures.
    Balbás, A
    Garrido, J
    Silvia, M
    INSURANCE MATHEMATICS & ECONOMICS, 2005, 37 (02): : 389 - 390
  • [22] Backtesting lambda value at risk
    Corbetta, Jacopo
    Peri, Ilaria
    EUROPEAN JOURNAL OF FINANCE, 2018, 24 (13): : 1075 - 1087
  • [23] Back to backtesting: integrated backtesting for value-at-risk and expected shortfall in practice
    Wehn, Carsten S.
    JOURNAL OF RISK MODEL VALIDATION, 2018, 12 (04): : 17 - 39
  • [24] A review of backtesting for value at risk
    Zhang, Y.
    Nadarajah, S.
    COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2018, 47 (15) : 3616 - 3639
  • [25] Backtesting for counterparty credit risk
    Schnitzler, Sebastian
    Rother, Niklas
    Plank, Holger
    Gloessner, Peter
    JOURNAL OF RISK MODEL VALIDATION, 2014, 8 (04): : 3 - 17
  • [26] An examination of the tail contribution to distortion risk measures
    Santolino, Miguel
    Belles-Sampera, Jaume
    Sarabia, Jose
    Guillen, Montserrat
    JOURNAL OF RISK, 2021, 23 (06): : 95 - 119
  • [27] Methods for generating coherent distortion risk measures
    Samanthi, Ranadeera G. M.
    Sepanski, Jungsywan
    ANNALS OF ACTUARIAL SCIENCE, 2019, 13 (02) : 400 - 416
  • [28] Dynamic capital allocation with distortion risk measures
    Tsanakas, A
    INSURANCE MATHEMATICS & ECONOMICS, 2004, 35 (02): : 223 - 243
  • [29] Elicitable distortion risk measures: A concise proof
    Wang, Ruodu
    Ziegel, Johanna F.
    STATISTICS & PROBABILITY LETTERS, 2015, 100 : 172 - 175
  • [30] Coherent distortion risk measures - A pitfall.
    Darkiewicz, G
    Dhaene, J
    Goovaerts, M
    INSURANCE MATHEMATICS & ECONOMICS, 2003, 33 (02): : 428 - 428
12345