• 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… 
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