Properties of a risk measure derived from ruin theory
| Data(s) |
2011
|
|---|---|
| Identificador |
https://serval.unil.ch/notice/serval:BIB_C8B043C6DD59 https://serval.unil.ch/resource/serval:BIB_C8B043C6DD59.P001/REF http://nbn-resolving.org/urn/resolver.pl?urn=urn:nbn:ch:serval-BIB_C8B043C6DD599 urn:nbn:ch:serval-BIB_C8B043C6DD599 |
| Idioma(s) |
eng |
| Direitos |
info:eu-repo/semantics/openAccess Copying allowed only for non-profit organizations https://serval.unil.ch/disclaimer |
| Fonte |
The Geneva Risk and Insurance Review362174-188 |
| Tipo |
info:eu-repo/semantics/article article |
| Resumo |
This paper studies a risk measure inherited from ruin theory and investigates some of its properties. Specifically, we consider a value-at-risk (VaR)-type risk measure defined as the smallest initial capital needed to ensure that the ultimate ruin probability is less than a given level. This VaR-type risk measure turns out to be equivalent to the VaR of the maximal deficit of the ruin process in infinite time. A related Tail-VaR-type risk measure is also discussed. |
| Formato |
application/pdf |
| Palavras-Chave | #Ruin probability; Classical risk model; Value-at-risk (VaR); Tail-VaR; Stochastic ordering |
