Multinomial backtesting of distortion risk measures

Sören Bettels, Sojung Kim and Stefan Weber

Insurance: Mathematics and Economics, 2024, vol. 119, issue C, 130-145

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: Distortion risk measures; Backtesting; Multinomial tests; Solvency capital; Internal models (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:119:y:2024:i:c:p:130-145

DOI: 10.1016/j.insmatheco.2024.08.003

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