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
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