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Why ruin theory should be of interest for insurance practitioners and risk managers nowadays

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Author Info

  • Stéphane Loisel

    ()
    (SAF - Laboratoire de Sciences Actuarielle et Financière - Université Claude Bernard - Lyon I : EA2429)

  • Hans-U. Gerber

    (UNIL - Université de Lausanne - Université de Lausanne)

Abstract

We present applications of risk theory to contemporary problems related to the implemented of Solvency II related concepts, like the Own Risk and Solvency Assessment.

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File URL: http://hal.archives-ouvertes.fr/docs/00/74/62/31/PDF/Gerber-Loisel-AFMATH-2012-preprint.pdf
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Bibliographic Info

Paper provided by HAL in its series Post-Print with number hal-00746231.

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Date of creation: 2012
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Publication status: Published - Presented, Actuarial and Financial Mathematics, 2012, Bruxelles, Belgium
Handle: RePEc:hal:journl:hal-00746231

Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00746231
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  1. Ignatov, Zvetan G. & Kaishev, Vladimir K. & Krachunov, Rossen S., 2001. "An improved finite-time ruin probability formula and its Mathematica implementation," Insurance: Mathematics and Economics, Elsevier, vol. 29(3), pages 375-386, December.
  2. Christophe Dutang & Claude Lefèvre & Stéphane Loisel, 2013. "On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing," Working Papers hal-00746251, HAL.
  3. Albrecher, Hansjörg & Constantinescu, Corina & Loisel, Stephane, 2011. "Explicit ruin formulas for models with dependence among risks," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 265-270, March.
  4. Rulliere, Didier & Loisel, Stephane, 2004. "Another look at the Picard-Lefevre formula for finite-time ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 187-203, October.
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Cited by:
  1. Julien Vedani & Fabien Ramaharobandro, 2013. "Continuous compliance: a proxy-based monitoring framework," Working Papers hal-00866531, HAL.
  2. Julien Vedani & Fabien Ramaharobandro, 2013. "Continuous compliance: a proxy-based monitoring framework," Papers 1309.7222, arXiv.org, revised Dec 2013.

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