Testing equality of quantiles of two-parameter exponential distributions under progressive Type II censoring

Malekzadeh, Ahad; Jafari, Ali Akbar

doi:10.1080/15598608.2018.1474147

Cited by 7 publications

(1 citation statement)

References 39 publications

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“…Often, normal distributions appear in the limits of the statistics under consideration. The testing problem of the equality of quantiles is treated in Kosorok (1999), Malekzadeh and Jafari (2018), Li et al (2012), and Cox and Jaber (1985). Inference for the distance of two quantiles is the topic in Guo and Krishnamoorthy (2005), Ozturk and Balakrishnan (2009), Baklizi (2018), Bristol (1990), Albers and Löhnberg (1984), Kang, Kim, and Lee (2007), Chakraborti and Desu (2008), and Malekzadeh and Kharrati-Kopaei (2020).…”

Section: Introductionmentioning

confidence: 99%

Test for Changes in the Modeled Solvency Capital Requirement of an Internal Risk Model

Gaigall¹

2021

ASTIN Bull.

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In the context of the Solvency II directive, the operation of an internal risk model is a possible way for risk assessment and for the determination of the solvency capital requirement of an insurance company in the European Union. A Monte Carlo procedure is customary to generate a model output. To be compliant with the directive, validation of the internal risk model is conducted on the basis of the model output. For this purpose, we suggest a new test for checking whether there is a significant change in the modeled solvency capital requirement. Asymptotic properties of the test statistic are investigated and a bootstrap approximation is justified. A simulation study investigates the performance of the test in the finite sample case and confirms the theoretical results. The internal risk model and the application of the test is illustrated in a simplified example. The method has more general usage for inference of a broad class of law-invariant and coherent risk measures on the basis of a paired sample.

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