The prediction of human longevity levels in the future by direct forecasting of life expectancy offers numerous advantages, compared to methods based on extrapolation of age-specific death rates. However, the reconstruction of accurate life tables starting from a given level of life expectancy...

We study a class of backtests for forecast distributions in which the test statistic is a spectral transformation that weights exceedance events by a function of the modeled probability level. The choice of the kernel function makes explicit the user's priorities for model performance. The class...

Under the revised market risk framework of the Basel Committee on Banking Supervision, the model validation regime for internal models now requires that models capture the tail risk in profit-and-loss (P&L) distributions at the trading desk level. We develop multi-desk backtests, which...