Ruin-based risk measures in discrete-time risk models

Hélène Cossette, Etienne Marceau, Julien Trufin and Pierre Zuyderhoff

Insurance: Mathematics and Economics, 2020, vol. 93, issue C, 246-261

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.

Keywords: Ruin-based risk measures; Discrete-time risk models; Properties; Stochastic orders; Capital allocation (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:93:y:2020:i:c:p:246-261

DOI: 10.1016/j.insmatheco.2020.05.003

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