Dynamic risk measures for stochastic asset processes from ruin theory

Yasutaka Shimizu, Shuji Tanaka

    Research output: Contribution to journalArticle

    1 Citation (Scopus)

    Abstract

    This article considers a dynamic version of risk measures for stochastic asset processes and gives a mathematical benchmark for required capital in a solvency regulation framework. Some dynamic risk measures, based on the expected discounted penalty function launched by Gerber and Shiu, are proposed to measure solvency risk from the company's going-concern point of view. This study proposes a novel mathematical justification of a risk measure for stochastic processes as a map on a functional path space of future loss processes.

    Original languageEnglish
    Pages (from-to)211-232
    Number of pages22
    JournalAnnals of Actuarial Science
    Volume12
    Issue number2
    DOIs
    Publication statusPublished - 2018 Sep 1

    Fingerprint

    Ruin Theory
    Risk Measures
    Path Space
    Penalty Function
    Justification
    Stochastic Processes
    Benchmark
    Ruin theory
    Dynamic risk measures
    Solvency
    Assets

    Keywords

    • C02
    • G22
    • JEL classificationG32

    ASJC Scopus subject areas

    • Statistics, Probability and Uncertainty
    • Economics and Econometrics
    • Statistics and Probability

    Cite this

    Dynamic risk measures for stochastic asset processes from ruin theory. / Shimizu, Yasutaka; Tanaka, Shuji.

    In: Annals of Actuarial Science, Vol. 12, No. 2, 01.09.2018, p. 211-232.

    Research output: Contribution to journalArticle

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