Properties of a Risk Measure Derived from Ruin Theory |
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| Authors: | Julien Trufin Hansjoerg Albrecher Michel M Denuit |
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| Institution: | 1.Institut de Statistique, Biostatistique et Sciences Actuarielles (ISBA), Universite Catholique de Louvain,Belgium;2.Ecole des HEC (Business School), University of Lausanne,Lausanne,Switzerland |
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| Abstract: | This paper studies a risk measure inherited from ruin theory and investigates some of its properties. Specifically, we consider a value-at-risk (VaR)-type risk measure defined as the smallest initial capital needed to ensure that the ultimate ruin probability is less than a given level. This VaR-type risk measure turns out to be equivalent to the VaR of the maximal deficit of the ruin process in infinite time. A related Tail-VaR-type risk measure is also discussed. |
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