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Multinomial backtesting of distortion risk measures

Author

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  • Bettels, Sören
  • Kim, Sojung
  • Weber, Stefan

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.

Suggested Citation

  • Bettels, Sören & Kim, Sojung & Weber, Stefan, 2024. "Multinomial backtesting of distortion risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 119(C), pages 130-145.
    • Handle: RePEc:eee:insuma:v:119:y:2024:i:c:p:130-145
    DOI: 10.1016/j.insmatheco.2024.08.003
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