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Paper / 2024SMQ / 69560784769829
Estimation of Spectral Risk Measure for Left Truncated and Right Censored Data
Rituparna Sen / Suparna Biswas
insurance / monte carlo simulationResource overview

Estimation of Spectral Risk Measure for Left Truncated and Right Censored Data

Paper2024

by Rituparna Sen, Suparna Biswas

Tags
insurancemonte carlo simulationstatistical inferencestatistics

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Understand this paper

Suggested foundations for probability and statistical reasoning and risk measurement and stress. Specialist prerequisites vary by paper.

Before you read

  1. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  2. Conditional Expectation

    Interpret expectations after information is observed.

  3. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

Go further

  1. Confidence Intervals and Hypothesis Testing

    Assess uncertainty rather than treating an estimate as a fact.

  2. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

  3. Backtesting VaR and ES: Coverage Tests and Model Validation

    Check forecasts against realised losses.

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