Distributional Censored and Uncensored Validation Testing under a Modified Test Statistic with Risk Analysis and Assessment
Table 7
KRIs under the insurance claims data and WLSE method for the RGG and GG models.
RGG
VAR(Z)
TVaRq(Z)
TV(Z)
TMV(Z)
MEL(Z)
70%
0.00013
0.24966
3526.87158
4718.69291
897465.10391
453451.24486
1191.82133
75%
3811.62126
4929.03006
810157.88744
410007.97377
1117.40879
80%
4129.55863
5169.48404
721504.21565
365921.59187
1039.92541
85%
4499.67171
5456.28103
629200.89762
320056.72984
956.60932
90%
4962.22579
5824.20898
528823.70376
270236.06086
861.98319
95%
5636.48648
6377.33305
408516.48753
210635.57681
740.84657
99%
6849.20863
7414.04414
253777.61263
134302.85045
564.83551
GG
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
For the RGG model and based on Table 7, it is noted that the can be and then and increased to be . For the GG model and based on Table 7, 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 noticed for all other risk indicators.
