We propose a new Unconditional Coverage backtest for VaR-forecasts under a Bayesian framework that significantly minimise the direct and indirect effects of p$-$hacking or other biased outcomes in decision$-$making, in general. As a consequence of …
We propose a new Unconditional Coverage backtest for VaR-forecasts under a Bayesian framework that significantly minimise the direct and indirect effects of p-hacking or other biased outcomes in decision-making, in general.
Longevity risk has been an ongoing issue for many insurance companies and pension funds. Due to the fast advancements of medicine and quality of life changes, it has made previously forecasted longevity rates have been different to that of currently …