The objective of this paper is to provide a complete framework to aggregate different quantile and expectile models for obtaining more diversified Value-at-Risk and Expected Shortfall measures, by applying the diversification principle to model risk. Following Taylor (2008) and Gouriéroux and...

The advent of the future European prudential framework (Solvency II) and, to a lesser extent, of the phase II of the IFRS dedicated to the insurance contracts, will systematize the use of the Value-at-Risk (VaR) risk measure in insurance. Especially used for financial purposes, the measure of an...

Dans cet article, nous proposons une démarche originale visant à évaluer la capacité des tests usuels de backtesting à discriminer différentes prévisions de Value at Risk (VaR) ne fournissant pas la même évaluation ex-ante du risque. Nos résultats montrent que, pour un même actif, ces...