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Properties of a risk measure derived from ruin theory
The Geneva Risk and Insurance Review
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.
Ruin probability, Classical risk model, Value-at-risk (VaR), Tail-VaR, Stochastic ordering
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