Signature-based validation of real-world economic scenarios

Herv\'e Andr\`es, Alexandre Boumezoued and Benjamin Jourdain
Additional contact information
Herv\'e Andr\`es: CERMICS
Alexandre Boumezoued: CERMICS, MATHRISK
Benjamin Jourdain: CERMICS, MATHRISK

Papers from arXiv.org

Abstract: Motivated by insurance applications, we propose a new approach for the validation of real-world economic scenarios. This approach is based on the statistical test developed by Chevyrev and Oberhauser (2022) and relies on the notions of signature and maximum mean distance. This test allows to check whether two samples of stochastic processes paths come from the same distribution. Our contribution is to apply this test to a variety of stochastic processes exhibiting different pathwise properties (H{\"o}lder regularity, autocorrelation, regime switches) and which are relevant for the modelling of stock prices and stock volatility as well as of inflation in view of actuarial applications.

Date: 2022-08, Revised 2024-04
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2208.07251 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2208.07251

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().