Robustness analysis and convergence of empirical finitetime ruin probabilities and estimation risk solvency margin
Published in:
 Insurance: Mathematics and Economics.  2008, vol. 42, no. 2, p. 746762
English
We consider the classical risk model and carry out a sensitivity and robustness analysis of finitetime ruin probabilities. We provide algorithms to compute the related influence functions. We also prove the weak convergence of a sequence of empirical finitetime ruin probabilities starting from zero initial reserve toward a Gaussian random variable. We define the concepts of reliable finitetime ruin probability as a ValueatRisk of the estimator of the finitetime ruin probability. To control this robust risk measure, an additional initial reserve is needed and called Estimation Risk Solvency Margin (ERSM). We apply our results to show how portfolio experience could be rewarded by cutoffs in solvency capital requirements. An application to catastrophe contamination and numerical examples are also developed.

Faculty
 Faculté des sciences et de médecine

Department
 Département de Mathématiques

Language


Classification

Mathematics

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License undefined

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Persistent URL

https://folia.unifr.ch/unifr/documents/300720
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