Dynamic risk measures for stochastic asset processes from ruin theory

Yasutaka Shimizu, Shuji Tanaka

Research output: Contribution to journalArticlepeer-review

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

Keywords

  • C02
  • G22
  • JEL classificationG32

ASJC Scopus subject areas

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

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