Dynamic risk measures for stochastic asset processes from ruin theory
2018 ◽
Vol 12
(2)
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pp. 249-268
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Keyword(s):
AbstractThis 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.
2020 ◽
Vol 23
(03)
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pp. 2050017
2014 ◽
Vol 17
(05)
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pp. 1450032
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2016 ◽
Vol 5
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pp. 67-80
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Keyword(s):
2018 ◽
Vol 21
(08)
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pp. 1850050
Keyword(s):
2011 ◽
pp. 1-34
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2018 ◽
Vol 43
(1)
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pp. 204-221
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Keyword(s):
2015 ◽
Vol 40
(3)
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pp. 655-682
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