On the risk consistency and monotonicity of ruin theory

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<title>On the risk consistency and monotonicity of ruin theory</title>
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<namePart>Constantinescu, Corina</namePart>
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<abstract displayLabel="Summary">Setting 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.</abstract>
<note type="statement of responsibility">Hirbod Assa, Corina Constantinescu </note>
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<topic>Evaluación de riesgos</topic>
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<topic>Probabilidad de ruina</topic>
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<topic>Cálculo actuarial</topic>
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<title>European Actuarial Journal</title>
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<publisher>Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022</publisher>
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<identifier type="local">MAP20220007085</identifier>
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<text>06/12/2021 Volúmen 11 - Número 2 - diciembre 2021 , p. 709-715</text>
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