Properties of risk measures derived from ruin theory

This paper studies a risk measure inherited from ruin theory and investigates some of its properties. Specifically, we consider a VaR-type risk measure defined as the smallest initial capital needed to ensure that the ultimate ruin probability is less than a given level. This VaR-type risk measure turns out to be equivalent to the VaR of the maximal deficit of the ruin process in infinite time. A related tail-VaR-type risk measure is also discussed.

• metadata
• relations

Document type	Document de travail (Working Paper)
Access type	Accès libre
Publication date	2010
Language	Anglais
Number of pages	12 pages
Collection	ISBA Discussion Paper - 1019
Keywords	Ruin probability ; classical risk model ; Value-at-Risk (VaR) ; stochastic ordering ; Tail-VaR
Links	http://sites.uclouvain.be/IAP-Stat-Phase-V-VI/ISBApub/ISBAdp.html http://hdl.handle.net/2078/115319[Handle]

See also
	[boreal:93546]	Properties of risk measures derived from ruin theory