On the risk consistency and monotonicity of ruin theory

Assa, Hirbod and Constantinescu, Corina ORCID: 0000-0002-5219-3022 (2021) On the risk consistency and monotonicity of ruin theory. European Actuarial Journal, 11 (2). pp. 709-715.

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Official URL: http://dx.doi.org/10.1007/s13385-021-00272-3

Abstract

Setting a proper minimum capital requirement is one of the most fundamental problems in the insurance industry. Ruin theory proposes a solution to this problem by identifying the minimum capital that a company needs to hold in order to stay solvent with a high probability. In this note we discuss the ruin theory risk consistency. More precisely we show that the ruin-consistent Value-at-Risk (VaR) is not continuous in probability, in Lp, 0 ≤ p< ∞, and in weak convergence. Furthermore, it is not a monotone measure of risk.

Item Type:	Article
Divisions:	Faculty of Science and Engineering > School of Physical Sciences
Depositing User:	Symplectic Admin
Date Deposited:	12 Apr 2021 07:23
Last Modified:	07 Mar 2023 19:45
DOI:	10.1007/s13385-021-00272-3
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3118792