Revised version of: ``Solvency requirement for a long-term guarantee: risk measures versus probability of ruin

DOI10.1007/s13385-011-0042-0zbMath1256.91061OpenAlexW2009344382MaRDI QIDQ1936558

Pierre Devolder

Publication date: 6 February 2013

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-011-0042-0

zbMATH Keywords

risk measuredynamic risk measureprobability of ruinsolvency capital

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

Related Items (6)

SOLVENCY MEASUREMENT OF LIFE ANNUITY PRODUCTS ⋮ Iterated VaR or CTE measures: A false good idea? ⋮ Long-term insurance products and volatility under the Solvency II framework ⋮ Valuing the profit share in participating pure-endowment policies with return of premiums ⋮ Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances ⋮ FUNDAMENTAL DEFINITION OF THE SOLVENCY CAPITAL REQUIREMENT IN SOLVENCY II

Cites Work

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• A synthesis of risk measures for capital adequacy
• A course in derivative securities. Introduction to theory and computation.
• Coherent Measures of Risk
• Optimal Portfolios with Bounded Capital at Risk
• The Iterated Cte

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