Properties of a risk measure derived from the expected area in red
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- Stéphane Loisel & Julien Trufin, 2014. "Properties of a risk measure derived from the expected area in red," Post-Print hal-00870224, HAL.
References listed on IDEAS
- Albrecher, Hansjörg & Constantinescu, Corina & Loisel, Stephane, 2011.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Hirbod Assa & Manuel Morales & Hassan Omidi Firouzi, 2016. "On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory," Risks, MDPI, Open Access Journal, vol. 4(3), pages 1-20, August.
- Guérin, Hélène & Renaud, Jean-François, 2017. "On the distribution of cumulative Parisian ruin," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 116-123.
More about this item
KeywordsRuin probability; Risk measure; Expected area in red; Stochastic ordering; Risk limit;
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