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Properties of risk measures derived from ruin theory
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Document type | Article de périodique (Journal article) – Article de recherche |
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Publication date | 2011 |
Language | Anglais |
Journal information | "The Geneva Risk and Insurance Review" - Vol. 36, p. 174-188 (2011) |
Peer reviewed | yes |
Publisher | Palgrave Macmillan ((United States) New York) |
issn | 1554-964X |
e-issn | 1554-9658 |
Publication status | Publié |
Affiliations |
UCL
- SSH/LIDAM/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles Université de Lausanne, Suisse - Département Sciences actuarielles |
Links |
- Asmussen Søren, Ruin Probabilities, ISBN:9789810222932, 10.1142/2779
- Cheridito Patrick, Delbaen Freddy, Kupper Michael, Coherent and convex monetary risk measures for unbounded càdlàg processes, 10.1007/s00780-006-0017-1
- Denuit M., Dhaene J., Goovaerts M., Kaas R., Actuarial Theory for Dependent Risks : Measures, Orders and Models, ISBN:9780470016459, 10.1002/0470016450
- Dhaene Jan, Goovaerts Mark J., Kaas Rob, Economic Capital Allocation Derived from Risk Measures, 10.1080/10920277.2003.10596084
- Embrechts, P., Kaufmann, R. and Samorodnitsky, G. (2004) ‘Ruin theory revisited: Stochastic models for operational risk’, in C. Bernadell et al. (ed) Risk Management for Central Bank Foreign Reserves, Frankfurt: European Central Bank, pp. 243–261.
- Embrechts Paul, Puccetti Giovanni, Aggregating risk capital, with an application to operational risk, 10.1007/s10713-006-0556-6
- Geman H., Learning about Risk: Some Lessons from Insurance, 10.1023/a:1009835429630
- Heilmann Wolf-Rüdiger, Schröter Klaus J., Orderings of risks and their actuarial applications, Stochastic orders and decision under risk (1991) ISBN:0940600269 p.157-173, 10.1214/lnms/1215459855
- Huang Hung-Hsi, Optimal insurance contract under a value-at-risk constraint, 10.1007/s10713-006-0557-5
- Kaas Rob, Goovaerts Marc, Dhaene Jan, Denuit Michel, Modern Actuarial Risk Theory, ISBN:9783540709923, 10.1007/978-3-540-70998-5
- Lefèvre, C. and Utev, S. (2001) ‘Comparison of individual risk models’, Insurance: Mathematics and Economics 28: 21–30.
- Luciano Elisa, Kast Robert, A Value at Risk Approach to Background Risk, 10.1023/a:1014303013248
- Michel, R. (1987) ‘A partial ordering of claim amount distributions and its relation to ruin probabilities in the Poisson model’, Bulletin of the Swiss Association of Actuaries 1987: 75–80.
- Pflug Georg Ch, Römisch Werner, Modeling, Measuring and Managing Risk, ISBN:9789812707406, 10.1142/6478
- Stochastic Orders, ISBN:9780387329154, 10.1007/978-0-387-34675-5
Bibliographic reference | Trufin, Julien ; Albrecher, Hansjoerg ; Denuit, Michel. Properties of risk measures derived from ruin theory. In: The Geneva Risk and Insurance Review, Vol. 36, p. 174-188 (2011) |
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Permanent URL | http://hdl.handle.net/2078.1/93546 |