Calibrating Distribution Models from PELVE
type: Item
instance of: scholarly article
title: Calibrating Distribution Models from PELVE
zbMATH Open document ID: 1542.91427
DOI: 10.1080/10920277.2023.2211648
author: Hirbod Assa
author: Liyuan Lin
author: Ruodu Wang
published in: North American Actuarial Journal
publication date: 2024-08-05T00:00:00Z
review text: The value at risk (VaR) and the expected shortfall (ES) are the two most popular risk measures in banking and insurance regulation. The value of probability equivalent level of VaR-ES (PELVE) is the multiplier to the tail probability when replacing VaR with ES such that the capital calculation stays unchanged. The authors study the problem of PELVE calibration -- how to find (from data or from expert opinion) a distribution model that yields a given PELVE and discuss separately the cases when one-point, two-point, \(n\)-point, and curve constraints are given. In the most complicated case of a curve constraint, the authors convert the calibration problem to that of an advanced differential equation.\N\NThe model calibration techniques are applied to estimation and simulation for datasets used in insurance. Also, some technical properties of PELVE are considered and a few new results on monotonicity and convergence are offered.
reviewed by: Pavel Stoynov
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 91G05
zbMATH DE Number: 7892296
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 7892296