• Corpus ID: 251564453

Signature-based validation of real-world economic scenarios

@inproceedings{Andres2022SignaturebasedVO,
  title={Signature-based validation of real-world economic scenarios},
  author={Herv'e Andres and Alexandre Boumezoued and Benjamin Jourdain},
  year={2022}
}
We propose a new approach for the validation of real-world economic scenario motivated by insurance applications. This approach is based on the statistical test developed by Chevyrev and Oberhauser [6] and relies on the notions of signature and maximum mean distance. This test allows to check whether two samples of stochastic processes paths come from the same distribution. Our contribution is to apply this test to two stochastic processes, namely the fractional Brownian motion and the Black… 

References

SHOWING 1-10 OF 32 REFERENCES

Validation Of Long-Term Equity return Models For Equity-Linked Guarantees

Abstract A number of models have been proposed for the equity return process for equity-linked guarantees, following the introduction of stochastic modeling requirements by the Canadian Institute of

Volatility is rough

Estimating volatility from recent high frequency data, we revisit the question of the smoothness of the volatility process. Our main result is that log-volatility behaves essentially as a fractional

A CONDITIONAL EQUITY RISK MODEL FOR REGULATORY ASSESSMENT

Abstract We define and study in this work a simple model designed for managing long-term market risk of financial institutions with long-term commitments. It allows the assessment of solvency capital

Signature moments to characterize laws of stochastic processes

This work uses the normalized sequence of moments, which characterizes the law of any finite-dimensional random variable, to define a metric for laws of stochastic processes, which can be efficiently estimated from finite samples, even if the stochastics processes themselves evolve in high-dimensional state spaces.

THE IMPACT OF INFLATION RISK ON FINANCIAL PLANNING AND RISK-RETURN PROFILES

Abstract The importance of funded private or occupational old-age provision is expected to increase due to demographic changes and the resulting problems for government-run pay-as-you-go systems.

Multivariate Models of Equity Returns for Investment Guarantees Valuation

It is observed that multivariate GARCH models provide a better overall fit than regime-switching models, and this leads to significant differences in the value of the CTE provisions, and, in general, provisions comput...

A Kernel Two-Sample Test

This work proposes a framework for analyzing and comparing distributions, which is used to construct statistical tests to determine if two samples are drawn from different distributions, and presents two distribution free tests based on large deviation bounds for the maximum mean discrepancy (MMD).

DYNAMIC HEDGING STRATEGIES FOR CASH BALANCE PENSION PLANS

Abstract Cash balance pension plans with crediting rates linked to long bond yields are relatively common in the United States, but their liabilities are proving very challenging to hedge. In this

Extracting information from the signature of a financial data stream

This paper illustrates how a very small number of coefficients obtained from the signature of financial data can be sufficient to classify this data for subtle underlying features and make useful predictions.

Efficient Dynamic Hedging for Large Variable Annuity Portfolios with Multiple Underlying Assets

A variable annuity (VA) is an equity-linked annuity that provides investment guarantees to its policyholder and its contributions are normally invested in multiple underlying assets (e.g., mutual