Stéphane Loisel () (SAF - EA2429 - Laboratoire de Science Actuarielle et Financière - Université Claude Bernard - Lyon I) Christian Mazza () (Département de Mathématiques - Université de Fribourg) Didier Rullière () (SAF - EA2429 - Laboratoire de Science Actuarielle et Financière - Université Claude Bernard - Lyon I)
Additional information is available for the following
registered author(s):
We consider the classical risk model and carry out a sensitivity and robustness analysis of finite-time ruin probabilities. We provide algorithms to compute the related influence functions. We also prove the weak convergence of a sequence of empirical finite-time ruin probabilities starting from zero initial reserve toward a Gaussian random variable. We define the concepts of reliable finite-time ruin probability as a Value-at-Risk of the estimator of the finite-time ruin probability. To control this robust risk measure, an additional initial reserve is needed and called Estimation Risk Solvency Margin (ERSM). We apply our results to show how portfolio experience could be rewarded by cut-offs in solvency capital requirements. An application to catastrophe contamination and numerical examples are also developed.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by HAL in its series Post-Print with number
hal-00168714_v1.
Length: Date of creation: Apr 2008 Date of revision: Publication status: Published, Insurance Mathematics and Economics, 2008, 42, 2, 746-762 Handle: RePEc:hal:journl:hal-00168714_v1
Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00168714/en/ Contact details of provider: Web page: http://hal.archives-ouvertes.fr/
For technical questions regarding this item, or to correct its listing, contact: (CCSD).
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)