Properties of a risk measure derived from the expected area in red

DOI10.1016/j.insmatheco.2014.01.012zbMath1296.91163OpenAlexW2035484257MaRDI QIDQ743159

Stéphane Loisel, Julien Trufin

Publication date: 22 September 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.01.012

zbMATH Keywords

stochastic orderingruin probabilityrisk measurerisk limitexpected area in red

Mathematics Subject Classification ID

Related Items (4)

Some expressions of a generalized version of the expected time in the red and the expected area in red ⋮ On the distribution of cumulative Parisian ruin ⋮ On the area in the red of Lévy risk processes and related quantities ⋮ Ruin-based risk measures in discrete-time risk models

Cites Work

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