Multinomial backtesting of distortion risk measures

Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review

Autoren

  • Sören Bettels
  • Sojung Kim
  • Stefan Weber

Organisationseinheiten

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Details

OriginalspracheEnglisch
Seiten (von - bis)130-145
Seitenumfang16
FachzeitschriftInsurance: Mathematics and Economics
Jahrgang119
Frühes Online-Datum26 Aug. 2024
PublikationsstatusVeröffentlicht - Nov. 2024

Abstract

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.

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Multinomial backtesting of distortion risk measures. / Bettels, Sören; Kim, Sojung; Weber, Stefan.
in: Insurance: Mathematics and Economics, Jahrgang 119, 11.2024, S. 130-145.

Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review

Bettels S, Kim S, Weber S. Multinomial backtesting of distortion risk measures. Insurance: Mathematics and Economics. 2024 Nov;119:130-145. Epub 2024 Aug 26. doi: 10.1016/j.insmatheco.2024.08.003
Bettels, Sören ; Kim, Sojung ; Weber, Stefan. / Multinomial backtesting of distortion risk measures. in: Insurance: Mathematics and Economics. 2024 ; Jahrgang 119. S. 130-145.
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