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Properties of Risk Measures Inspired from the Ruin Probability, the De ficit at Ruin, and the Time of Ruin
We study a risk measure derived from ruin theory defined as the amount of capital needed to cope in expectation with the first occurrence of a ruin event. Specifically, within the compound Poisson model, we investigate some properties of this risk measure with respect to the stochastic ordering of claim severities. Particular situations where combining risks yield diversification benefits are identified. Closed form expressions and upper bounds are also provided for certain claim severities. Further extensions are explored.
Date and Time
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Co-auteurs (non y compris vous-même)
Julien Trufin
Université Libre de Bruxelles
Amine Mohamed Lkabous
Université du Québec à Montréal
Langue de la présentation orale
Anglais
Langue des supports visuels
Anglais

Speaker

Edit Name Primary Affiliation
Ilie Radu Mitric Université Laval