Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin
- Loisel, Stéphane Université de Lyon 1, France
- Mazza, Christian Department of Mathematics, University of Fribourg, Switzerland
- Rullière, Didier Université de Lyon 1, France
-
05.09.2007
Published in:
- Insurance: Mathematics and Economics. - 2008, vol. 42, no. 2, p. 746-762
Finite-time ruin probability
robustness
solvency II
reliable ruin probability
asymptotic normality
influence function
estimation risk solvency margin (ERSM)
English
We consider the classical risk model and carry out a sensitivity and robustness analysis of finite-time ruin probabilities. We provide algorithms to compute the related influence functions. We also prove the weak convergence of a sequence of empirical finite-time ruin probabilities starting from zero initial reserve toward a Gaussian random variable. We define the concepts of reliable finite-time ruin probability as a Value-at-Risk of the estimator of the finite-time 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 cut-offs 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
-
- English
- Classification
- Mathematics
- License
- License undefined
- Identifiers
-
- RERO DOC 9276
- DOI 10.1016/j.insmatheco.2007.08.007
- Persistent URL
- https://folia.unifr.ch/unifr/documents/300720
Statistics
Document views: 22
File downloads:
- mazza_rac.pdf: 11