Stressing dynamic loss models

DOI10.1016/j.insmatheco.2023.11.002arXiv2211.03221OpenAlexW4388894529MaRDI QIDQ6152707

Sebastian Jaimungal, Emma Kroell, Silvana M. Pesenti

Publication date: 13 February 2024

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

Full work available at URL: https://arxiv.org/abs/2211.03221

zbMATH Keywords

value-at-riskconditional value-at-riskcompound Poisson processesKL divergencereverse stress testing

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Actuarial mathematics (91G05)

Cites Work

• Multivariate stress scenarios and solvency
• Optimal investment choices post-retirement in a defined contribution pension scheme
• Valuation and hedging of life insurance liabilities with systematic mortality risk
• I-divergence geometry of probability distributions and minimization problems
• Reverse sensitivity testing: what does it take to break the model?
• Conditional copula simulation for systemic risk stress testing
• Sensitivity analysis with \(\chi^2\)-divergences
• Sample size requirements for estimating Pearson, Kendall and Spearman correlations
• Rényi Divergence and Kullback-Leibler Divergence
• Fourier space time-stepping for option pricing with Lévy models
• Stress scenario selection by empirical likelihood
• Elements of Copula Modeling with R
• On Information and Sufficiency
• Applied stochastic control of jump diffusions

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