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Ruin-based risk measures in discrete-time risk models

Author

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  • Cossette, Hélène
  • Marceau, Etienne
  • Trufin, Julien
  • Zuyderhoff, Pierre

Abstract

For an insurance company, effective risk management requires an appropriate measurement of the risk associated with an insurance portfolio. The objective of the present paper is to study properties of ruin-based risk measures defined within discrete-time risk models under a different perspective at the frontier of the theory of risk measures and ruin theory. Ruin theory is a convenient framework to assess the riskiness of an insurance business. We present and examine desirable properties of ruin-based risk measures. Applications within the classical discrete-time risk model and extensions allowing temporal dependence are investigated. The impact of the temporal dependence on ruin-based risk measures within those different risk models is also studied. We discuss capital allocation based on Euler’s principle for homogeneous and subadditive ruin-based risk measures.

Suggested Citation

  • Cossette, Hélène & Marceau, Etienne & Trufin, Julien & Zuyderhoff, Pierre, 2020. "Ruin-based risk measures in discrete-time risk models," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 246-261.
    • Handle: RePEc:eee:insuma:v:93:y:2020:i:c:p:246-261
    DOI: 10.1016/j.insmatheco.2020.05.003
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    1. Blier-Wong, Christopher & Cossette, Hélène & Marceau, Etienne, 2022. "Stochastic representation of FGM copulas using multivariate Bernoulli random variables," Computational Statistics & Data Analysis, Elsevier, vol. 173(C).

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