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On the risk consistency and monotonicity of ruin theory

Recurso electrónico / Electronic resource
MARC record
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100  ‎$0‎MAPA20180008092‎$a‎Assa, Hirbod
24510‎$a‎On the risk consistency and monotonicity of ruin theory‎$c‎Hirbod Assa, Corina Constantinescu
520  ‎$a‎Setting a proper minimum capital requirement is one of the most fundamental problems in the insurance industry. Ruin theory proposes a solution to this problem by identifying the minimum capital that a company needs to hold in order to stay solvent with a high probability. In this note we discuss the ruin theory risk consistency. More precisely we show that the ruin-consistent Value-at-Risk (VaR) is not continuous in probability, in Lp,0=p<8, and in weak convergence. Furthermore, it is not a monotone measure of risk.
650 4‎$0‎MAPA20080601522‎$a‎Evaluación de riesgos
650 4‎$0‎MAPA20080603069‎$a‎Probabilidad de ruina
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
7001 ‎$0‎MAPA20220002547‎$a‎Constantinescu, Corina
7730 ‎$w‎MAP20220007085‎$g‎06/12/2021 Volúmen 11 - Número 2 - diciembre 2021 , p. 709-715‎$t‎European Actuarial Journal‎$d‎Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022