Distributional Censored and Uncensored Validation Testing under a Modified Test Statistic with Risk Analysis and Assessment
Table 8
KRIs under the insurance claims data and ADE method for the RGG and GG models.
RGG
VAR ()
TVaRq ()
TV ()
TMV ()
MEL
70%
0.00013
0.25097
3540.62976
4731.51551
895287.06144
452375.04623
1190.88575
75%
3825.31795
4941.67041
808004.60967
408943.97525
1116.35246
80%
4143.10747
5181.87675
719409.74485
364886.74918
1038.76928
85%
4512.95414
5468.32876
627204.73487
319070.6962
955.37463
90%
4975.04887
5835.74349
526979.23655
269325.36176
860.69461
95%
5648.42256
6387.96535
406919.57076
209847.75073
739.54279
99%
6859.01979
7422.636
252618.18406
133731.72803
563.61621
GG
70%
0.00073
1.06384
3458.40688
5236.20289
2834449.98987
1422461.19782
1777.79601
75%
3808.11267
5557.70389
2779062.31324
1395088.86051
1749.59122
80%
4224.01639
5944.78417
2721237.60768
1366563.58801
1720.76778
85%
4744.87358
6435.287
2658343.80995
1335607.19198
1690.41342
90%
5456.85396
7113.55779
2586413.14306
1300320.12932
1656.70383
95%
6631.80035
8246.37393
2494107.46862
1255300.10824
1614.57358
99%
9237.13337
10792.44936
2358880.28743
1190232.59308
1555.31599
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.
