Dynamic risk measures for stochastic asset processes from ruin theory

Yasutaka Shimizu*, Shuji Tanaka

*この研究の対応する著者

研究成果: Article査読

1 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)211-232
ページ数22
ジャーナルAnnals of Actuarial Science
12
2
DOI
出版ステータスPublished - 2018 9 1

ASJC Scopus subject areas

  • 統計学および確率
  • 経済学、計量経済学
  • 統計学、確率および不確実性

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