Details
| Original language | English |
|---|---|
| Pages (from-to) | 130-145 |
| Number of pages | 16 |
| Journal | Insurance: Mathematics and Economics |
| Volume | 119 |
| Early online date | 26 Aug 2024 |
| Publication status | Published - 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.
Keywords
- Backtesting, Distortion risk measures, Internal models, Multinomial tests, Solvency capital
ASJC Scopus subject areas
- Mathematics(all)
- Statistics and Probability
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
- Decision Sciences(all)
- Statistics, Probability and Uncertainty
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In: Insurance: Mathematics and Economics, Vol. 119, 11.2024, p. 130-145.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Multinomial backtesting of distortion risk measures
AU - Bettels, Sören
AU - Kim, Sojung
AU - Weber, Stefan
N1 - Publisher Copyright: © 2024 The Author(s)
PY - 2024/11
Y1 - 2024/11
N2 - 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.
AB - 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.
KW - Backtesting
KW - Distortion risk measures
KW - Internal models
KW - Multinomial tests
KW - Solvency capital
UR - http://www.scopus.com/inward/record.url?scp=85202860287&partnerID=8YFLogxK
U2 - 10.1016/j.insmatheco.2024.08.003
DO - 10.1016/j.insmatheco.2024.08.003
M3 - Article
VL - 119
SP - 130
EP - 145
JO - Insurance: Mathematics and Economics
JF - Insurance: Mathematics and Economics
SN - 0167-6687
ER -