Journal Articles ASTIN Bulletin Year : 2024

Signature-based validation of real-world economic scenarios

Abstract

Motivated by insurance applications, we propose a new approach for the validation of real-world economic scenarios. This approach is based on the statistical test developed by Chevyrev and Oberhauser (2022) and relies on the notions of signature and maximum mean distance. This test allows to check whether two samples of stochastic processes paths come from the same distribution. Our contribution is to apply this test to a variety of stochastic processes exhibiting different pathwise properties (Hölder regularity, autocorrelation, regime switches) and which are relevant for the modelling of stock prices and stock volatility as well as of inflation in view of actuarial applications.
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Dates and versions

hal-03740740 , version 1 (29-07-2022)
hal-03740740 , version 2 (08-02-2023)
hal-03740740 , version 3 (08-04-2024)

Identifiers

Cite

Hervé Andrès, Alexandre Boumezoued, Benjamin Jourdain. Signature-based validation of real-world economic scenarios. ASTIN Bulletin, 2024, 54 (2), pp.410-440. ⟨10.1017/asb.2024.12⟩. ⟨hal-03740740v3⟩
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