Properties of a risk measure derived from ruin theory
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State: Public
Version: author
State: Public
Version: author
Serval ID
serval:BIB_C8B043C6DD59
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Properties of a risk measure derived from ruin theory
Journal
The Geneva Risk and Insurance Review
ISSN
1554-964X
Publication state
Published
Issued date
2011
Peer-reviewed
Oui
Volume
36
Number
2
Pages
174-188
Language
english
Abstract
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.
Keywords
Ruin probability, Classical risk model, Value-at-risk (VaR), Tail-VaR, Stochastic ordering
Web of science
Open Access
Yes
Create date
10/06/2010 13:22
Last modification date
20/08/2019 16:43