On the risk consistency and monotonicity of ruin theory
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|---|---|---|---|
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| 001 | MAP20220008068 | ||
| 003 | MAP | ||
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| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20180008092$aAssa, Hirbod | ||
| 245 | 1 | 0 | $aOn the risk consistency and monotonicity of ruin theory$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 | |
| 700 | 1 | $0MAPA20220002547$aConstantinescu, Corina | |
| 773 | 0 | $wMAP20220007085$g06/12/2021 Número 2 - diciembre 2021 , p. 709-715$tEuropean Actuarial Journal$dCham, Switzerland : Springer Nature Switzerland AG, 2021-2022 |