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On the risk consistency and monotonicity of ruin theory
Recurso electrónico / Electronic resource
MAP20220008068
Assa, Hirbod ‌
On the risk consistency and monotonicity of ruin theory / Hirbod Assa, Corina Constantinescu
Sumario: 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
En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 06/12/2021 Número 2 - diciembre 2021 , p. 709-715
1. Evaluación de riesgos ‌. 2. Probabilidad de ruina ‌. 3. Cálculo actuarial ‌. I. Constantinescu, Corina ‌. II. Title.