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stat.AP2022
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…
q-fin.RM2022
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…