On a risk measure inspired from the ruin probability and the expected deficit at ruin

DOI10.1080/03461238.2015.1054302zbMath1401.91175OpenAlexW1515019746MaRDI QIDQ4575384

Julien Trufin, Ilie-Radu Mitric

Publication date: 13 July 2018

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

Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/207385/3/MitricTrufin2015_Diffusion.pdf

zbMATH Keywords

stochastic orderingruin probabilityladder heightsrisk measureclassical risk modelmaximal aggregate loss

Mathematics Subject Classification ID

Related Items (5)

On capital allocation for a risk measure derived from ruin theory ⋮ On the distribution of cumulative Parisian ruin ⋮ Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application ⋮ Ruin-based risk measures in discrete-time risk models ⋮ A note on compound renewal risk models with dependence

Cites Work

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• Erratum: Coherent and convex risk measures for unbounded càdlàg processes
• The probability and severity of ruin for combinations of exponential claim amount distributions and their translations
• Exact and approximate properties of the distribution of surplus before and after ruin
• The dilation order, the dispersion order, and orderings of residual lives
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Random vectors with HNBUE-type marginal distributions
• On extensions of dmrl and related partial orderings of life distributions
• Use of differential and integral inequalities to bound ruin and queuing probabilities
• Some properties of ageing notions based on the moment-generating-function order
• Tail of compound distributions and excess time
• Economic Capital Allocation Derived from Risk Measures

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