Bayesian value-at-risk backtesting: the case of annuity pricing

DOI10.1016/J.EJOR.2020.12.051MaRDI QIDQ2030319zbMATH OpenOpenAlexFDO

Authors Melvern Leung, Youwei Li, Athanasios A. Pantelous, Samuel A. Vigne

Publication date 7 June 2021

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://mpra.ub.uni-muenchen.de/101698/1/MPRA_paper_101698.pdf

zbMATH Keywords

longevity riskdecision analysisvalue-at-riskbacktestingBayesian framework

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Recommendations

• Backtesting Parametric Value-at-Risk With Estimation Risk
• Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall
• Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing
• Backtesting value-at-risk: a generalized Markov test
• A review of backtesting for value at risk
• A Bayesian encompassing test using combined value-at-risk estimates
• Bayesian estimation of value at risk measure under exponential-Gamma models
• Pricing participating longevity-linked life annuities: a Bayesian model ensemble approach
• Bayesian analysis of stochastic volatility models
• Bayesian analysis of stochastic volatility models

Cites work

• A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions
• A Bayesian forecasting model: predicting U.S. male mortality
• A comparative study of pricing approaches for longevity instruments
• A new approach to Bayesian hypothesis testing
• A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
• Bayesian Poisson log-bilinear mortality projections
• Evaluating the goodness of fit of stochastic mortality models
• Longevity risk in portfolios of pension annuities
• Market risk management in a post-Basel II regulatory environment
• Modeling and forecasting U.S. mortality. (With discussion)
• Modelling and forecasting mortality in Spain
• On Gibbs sampling for state space models
• Optimal savings management for individuals with defined contribution pension plans
• Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
• Risk- and value-based management for non-life insurers under solvency constraints
• Testing a Point Null Hypothesis: The Irreconcilability of P Values and Evidence
• Value–at–Risk Models

Cited in

(3)

• A one-sided Vysochanskii-Petunin inequality with financial applications
• Model risk in the over-the-counter market
• Loss function-based change point detection in risk measures

Describes a project that uses

Uses Software

• StMoMo

This page was built for publication: Bayesian value-at-risk backtesting: the case of annuity pricing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2030319)