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2 résultats pour « internalmodels »

Validation of machine learning based scenario generators

31 janv. 2023 Autre, machinelearning, scenarios, internalmodels, solvency2

"Machine learning methods are getting more and more important in the development of internal models using scenario generation. As internal models under Solvency 2 have to be validated, an important question is in which aspects the validation of these data-driven models differs from a classical theory-based model."

Multinomial Backtesting of Distortion Risk Measures

18 févr. 2022 Autre, riskmeasurement, backtesting, internalmodels, distortion, multinomialtests, solvencycapital

"We extend the scope of risk measures for which backtesting models are available by proposing a multinomial backtesting method for general distortion risk measures. The method relies on a stratification and randomization of risk levels. We illustrate the performance of our methods in numerical case studies."

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