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
  • [31] Equivalent distortion risk measures on moment spaces
    Cornilly, Dries
    Vanduffel, Steven
    STATISTICS & PROBABILITY LETTERS, 2019, 146 : 187 - 192
  • [32] Risk measures, distortion parameters, and their empirical estimation
    Jones, Bruce L.
    Zitikis, Ricardas
    INSURANCE MATHEMATICS & ECONOMICS, 2007, 41 (02): : 279 - 297
  • [33] Contagion-based distortion risk measures
    Cherubini, Umberto
    Mulinacci, Sabrina
    APPLIED MATHEMATICS LETTERS, 2014, 27 : 85 - 89
  • [34] Robust insurance design with distortion risk measures
    Boonen, Tim J.
    Jiang, Wenjun
    EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2024, 316 (02) : 694 - 706
  • [35] New Classes of Distortion Risk Measures and Their Estimation
    Sepanski, Jungsywan
    Wang, Xiwen
    RISKS, 2023, 11 (11)
  • [36] Distortion risk measures for nonnegative multivariate risks
    Guillen, Montserrat
    Maria Sarabia, Jose
    Belles-Sampera, Jaume
    Prieto, Faustino
    JOURNAL OF OPERATIONAL RISK, 2018, 13 (02): : 35 - 57
  • [37] Back to the future: Backtesting systemic risk measures during historical bank runs and the great depression
    Brownlees, Christian
    Chabot, Ben
    Ghysels, Eric
    Kurz, Christopher
    JOURNAL OF BANKING & FINANCE, 2020, 113
  • [38] Beyond Value-at-Risk: GlueVaR Distortion Risk Measures
    Belles-Sampera, Jaume
    Guillen, Montserrat
    Santolino, Miguel
    RISK ANALYSIS, 2014, 34 (01) : 121 - 134
  • [39] Backtesting global Growth-at-Risk
    Brownlees, Christian
    Souza, Andre B. M.
    JOURNAL OF MONETARY ECONOMICS, 2021, 118 : 312 - 330
  • [40] Multifractal spectrum of multinomial measures
    Okada, T
    Sekiguchi, T
    Shiota, Y
    PROCEEDINGS OF THE JAPAN ACADEMY SERIES A-MATHEMATICAL SCIENCES, 1997, 73 (07) : 123 - 125
12345