On the risk consistency and monotonicity of ruin theory

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<dc:creator>Assa, Hirbod</dc:creator>
<dc:creator>Constantinescu, Corina</dc:creator>
<dc:date>2022-12-06</dc:date>
<dc:description xml:lang="es">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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/179019.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Evaluación de riesgos</dc:subject>
<dc:subject xml:lang="es">Probabilidad de ruina</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">On the risk consistency and monotonicity of ruin theory</dc:title>
<dc:relation xml:lang="es">En: European Actuarial Journal. - Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022. - 06/12/2021 Número 2 - diciembre 2021 , p. 709-715</dc:relation>
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