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Dynamic risk measures for stochastic asset processes from ruin theory
- Source :
- Annals of Actuarial Science. 12:249-268
- Publication Year :
- 2018
- Publisher :
- Cambridge University Press (CUP), 2018.
-
Abstract
- This article considers a dynamic version of risk measures for stochastic asset processes and gives a mathematical benchmark for required capital in a solvency regulation framework. Some dynamic risk measures, based on the expected discounted penalty function launched by Gerber and Shiu, are proposed to measure solvency risk from the company’s going-concern point of view. This study proposes a novel mathematical justification of a risk measure for stochastic processes as a map on a functional path space of future loss processes.
- Subjects :
- Statistics and Probability
Economics and Econometrics
Solvency
050208 finance
Stochastic process
Computer science
Risk measure
05 social sciences
Ruin theory
01 natural sciences
Measure (mathematics)
Dynamic risk measure
010104 statistics & probability
0502 economics and business
Econometrics
Penalty method
Asset (economics)
0101 mathematics
Statistics, Probability and Uncertainty
Subjects
Details
- ISSN :
- 17485002 and 17484995
- Volume :
- 12
- Database :
- OpenAIRE
- Journal :
- Annals of Actuarial Science
- Accession number :
- edsair.doi...........8cad114dc2c9f3b842a430443dbb2ed1