On the risk consistency and monotonicity of ruin theory

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      <subfield code="a">On the risk consistency and monotonicity of ruin theory</subfield>
      <subfield code="c">Hirbod Assa, Corina Constantinescu </subfield>
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      <subfield code="a">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.</subfield>
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      <subfield code="g">06/12/2021 Volúmen 11 - Número 2 - diciembre 2021 , p. 709-715</subfield>
      <subfield code="t">European Actuarial Journal</subfield>
      <subfield code="d">Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022</subfield>
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