On a risk measure inspired from the ruin probability and the expected deficit at ruin

DOI10.1080/03461238.2015.1054302MaRDI QIDQ4575384zbMATH OpenOpenAlexFDO

Authors Ilie-Radu Mitric, Julien Trufin

Publication date 13 July 2018

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://dipot.ulb.ac.be/dspace/bitstream/2013/207385/3/MitricTrufin2015_Diffusion.pdf

zbMATH Keywords

stochastic orderingruin probabilityclassical risk modelrisk measureladder heightsmaximal aggregate loss

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Recommendations

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Cites work

• scientific article; zbMATH DE number 4032883 (Why is no real title available?)
• scientific article; zbMATH DE number 125964 (Why is no real title available?)
• scientific article; zbMATH DE number 605729 (Why is no real title available?)
• Comparison methods for stochastic models and risks
• Economic Capital Allocation Derived from Risk Measures
• Erratum: Coherent and convex risk measures for unbounded càdlàg processes
• Exact and approximate properties of the distribution of surplus before and after ruin
• On extensions of dmrl and related partial orderings of life distributions
• Random vectors with HNBUE-type marginal distributions
• Ruin probabilities
• Some properties of ageing notions based on the moment-generating-function order
• Tail of compound distributions and excess time
• The dilation order, the dispersion order, and orderings of residual lives
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• The probability and severity of ruin for combinations of exponential claim amount distributions and their translations
• Use of differential and integral inequalities to bound ruin and queuing probabilities

Cited in

(7)

• Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application
• On the risk consistency and monotonicity of ruin theory
• Properties of a risk measure derived from the expected area in red
• Ruin-based risk measures in discrete-time risk models
• On capital allocation for a risk measure derived from ruin theory
• On the distribution of cumulative Parisian ruin
• A note on compound renewal risk models with dependence

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