2025/09/02 by Bettels, Sören, Kim, Sojung, Weber, Stefan
#330 #510 #Backtesting #Distortion risk measures #Internal models #Multinomial tests #Solvency capital
paper · doi:10.15488/19483
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.