Distributional Censored and Uncensored Validation Testing under a Modified Test Statistic with Risk Analysis and Assessment
Table 6
KRIs under the insurance claims data and OLSE method for the RGG and GG models.
RGG
VAR (Z)
TVaRq (Z)
TV (Z)
TMV (Z)
MEL (Z)
70%
0.000102
0.22171
3632.99105
4996.48683
1205793.50393
607893.23879
1363.49578
75%
3955.36014
5237.48863
1096730.80929
553602.89328
1282.12849
80%
4317.49409
5513.76119
986553.2494
498790.38589
1196.2671
85%
4741.68348
5844.00281
874181.90068
442934.95315
1102.31933
90%
5275.36292
6267.96828
760233.35867
386384.64761
992.60536
95%
6059.44028
6901.97514
666193.23063
339998.59046
842.53486
99%
7484.76402
8013.43354
1172200.59129
594113.72919
528.66952
GG
70%
0.00065
0.91821
3594.53397
5576.34069
3539252.01829
1775202.34984
1981.80672
75%
3982.48960
5934.90946
3473191.12958
1742530.47425
1952.41986
80%
4445.00134
6367.09192
3403151.03363
1707942.60874
1922.09059
85%
5025.49977
6915.23259
3326378.59657
1670104.53087
1889.73282
90%
5820.52382
7673.74708
3237425.73431
1626386.61424
1853.22327
95%
7134.50253
8941.30362
3120649.84197
1569266.22461
1806.80109
99%
10050.30113
11789.14593
2958045.3976
1490811.84473
1738.8448
For the RGG model and based on Table 6, it is noted that the can be and then and increased to be . For the GG model and based on Table 6, 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.
