On capital allocation for a risk measure derived from ruin theory

DOI10.1016/J.INSMATHECO.2022.02.001zbMath1490.91169arXiv2103.16264OpenAlexW3147123249MaRDI QIDQ2138618

G. A. Delsing, P. J. C. Spreij, M. R. H. Mandjes, Erik M. M. Winands

Publication date: 12 May 2022

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.16264

zbMATH Keywords

ruin probabilityvalue-at-risk (VaR)insurance riskrisk capital allocationgradient allocation method

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Actuarial mathematics (91G05)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Erratum: Coherent and convex risk measures for unbounded càdlàg processes
• Coherent risk measures, coherent capital allocations and the gradient allocation principle
• Cramér's estimate for Lévy processes
• Multirisks model and finite-time ruin probabilities
• On the (non-)differentiability of the optimal value function when the optimal solution is unique
• Joint distribution of Brownian motion and its maximum, with a generalization to correlated BM and applications to barrier options
• Stopped Lévy processes with applications to first passage times
• Introductory lectures on fluctuations of Lévy processes with applications.
• Asymptotic multivariate finite-time ruin probability with statistically dependent heavy-tailed claims
• Double Lookbacks
• Coherent Measures of Risk
• Ruin probabilities and optimal capital allocation for heterogeneous life annuity portfolios
• Stopped Random Walks
• On a.s. and r-mean convergence of random processes with an application to first passage times
• The joint density of the maximum and its location for a Wiener process with drift
• On a risk measure inspired from the ruin probability and the expected deficit at ruin
• Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application
• On the Distribution of the Deficit at Ruin when Claims are Phase-type
• The Theory of Max-Min, with Applications
• On Wald's equations in continuous time
• Economic Capital Allocation Derived from Risk Measures

This page was built for publication: On capital allocation for a risk measure derived from ruin theory