Multinomial backtesting of distortion risk measures

DOI10.1016/J.INSMATHECO.2024.08.003MaRDI QIDQ6665595zbMATH OpenFDO

Authors Sören Bettels, Sojung Kim, Stefan Weber

Publication date 17 January 2025

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.INSMATHECO.2024.08.003

zbMATH Keywords

backtestingdistortion risk measuresinternal modelsmultinomial testssolvency capital

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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Cites work

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Cited in

(1)

• An integrated approach to importance sampling and machine learning for efficient Monte Carlo estimation of distortion risk measures in black-box models

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