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Signature-based validation of real-world economic scenarios

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  • Herv'e Andr`es

    (CERMICS)

  • Alexandre Boumezoued

    (CERMICS, MATHRISK)

  • Benjamin Jourdain

    (CERMICS, MATHRISK)

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 (H{\"o}lder 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.

Suggested Citation

  • Herv'e Andr`es & Alexandre Boumezoued & Benjamin Jourdain, 2022. "Signature-based validation of real-world economic scenarios," Papers 2208.07251, arXiv.org, revised Apr 2024.
    • Handle: RePEc:arx:papers:2208.07251
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    References listed on IDEAS

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