On a risk measure inspired from the ruin probability and the expected deficit at ruin |
| |
Authors: | Ilie-Radu Mitric |
| |
Institution: | école d’Actuariat, Université Laval, Québec, Canada. |
| |
Abstract: | In this paper, we study a risk measure derived from ruin theory defined as the amount of capital needed to cope in expectation with the first occurrence of a ruin event. Specifically, within the compound Poisson model, we investigate some properties of this risk measure with respect to the stochastic ordering of claim severities. Particular situations where combining risks yield diversification benefits are identified. Closed form expressions and upper bounds are also provided for certain claim severities. |
| |
Keywords: | ruin probability risk measure classical risk model maximal aggregate loss ladder heights stochastic ordering |
|
|