4 papers
Microscopic Traffic Models, Accidents, and Insurance Losses
Sojung Kim, Marcel Kleiber, Stefan Weber
The paper develops a methodology to enable microscopic models of transportation systems to be accessible for a statistical study of traffic accidents. Our approach is intended to p…
Multinomial Backtesting of Distortion Risk Measures
Sören Bettels, Sojung Kim, Stefan Weber
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 relie…
Simulation Methods for Robust Risk Assessment and the Distorted Mix Approach
Sojung Kim, Stefan Weber
Uncertainty requires suitable techniques for risk assessment. Combining stochastic approximation and stochastic average approximation, we propose an efficient algorithm to compute…
Saddlepoint methods for conditional expectations with applications to risk management
Sojung Kim, Kyoung-kuk Kim
The paper derives saddlepoint expansions for conditional expectations in the form of and $\mathsf{E}[\overline{X} |…