Distributional Censored and Uncensored Validation Testing under a Modified Test Statistic with Risk Analysis and Assessment
Table 5
KRIs under the insurance claims data and MLE method for the RGG and GG models.
RGG
VAR (Z)
TVaRq (Z)
TV (Z)
TMV (Z)
MEL (Z)
70%
0.00015
0.28234
3496.50391
4558.57622
699524.80147
354320.97695
1062.07231
75%
3753.40308
4745.68167
628280.24476
318885.80405
992.27859
80%
4038.69385
4958.81499
556528.26676
283222.94838
920.12115
85%
4368.96603
5212.06741
482468.72823
246446.43152
843.10138
90%
4779.27933
5535.60095
402705.22141
206888.21166
756.32162
95%
5373.20042
6019.48193
308229.59567
160134.27976
646.28151
99%
6431.29618
6919.75575
188726.99863
101283.25506
488.45957
GG
70%
0.00082
1.22414
3278.09435
4859.59031
2234672.23224
1122195.70643
1581.49596
75%
3590.39178
5145.44682
2189703.03727
1099996.96546
1555.05505
80%
3961.06112
5489.35839
2142917.6042
1076948.16049
1528.29726
85%
4424.45409
5924.86981
2092556.6416
1052203.19061
1500.41572
90%
5056.9412
6526.74393
2035549.95375
1024301.72081
1469.80273
95%
6099.46207
7531.67103
1962778.44564
988920.89386
1432.20897
99%
8410.23646
9790.19896
1861396.87867
940488.63829
1379.9625
For the RGG model and based on Table 5, it is noted that the can be and then and increased to be . For the GG model and based on Table 5, it is noted that the can be and then and increased to be which means that the RGG model is better than the GG model. The same result can be conducted for all other risk indicators.
