HAL : hal-00168714, version 1

DOI : 10.1016/j.insmatheco.2007.08.007

Fiche détaillée

Récupérer au format BibTeX - EndNote - TEI - RefWorks -

Insurance Mathematics and Economics 42, 2 (2008) 746-762

Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin.

Stéphane Loisel 1, Christian Mazza 2, Didier Rullière (  Auteur correspondant ) 1

(04/2008)

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.

1 :	Laboratoire de Sciences Actuarielle et Financière (SAF)
	Université Claude Bernard - Lyon I : EA2429
2 :	Département de Mathématiques
	Université de Fribourg

Équipe de recherche : Cahiers de Recherche de l'ISFA

Domaine

:

Sciences de l'Homme et Société/Economies et finances Mathématiques/Probabilités Mathématiques/Statistiques

Mots Clés : Finite-time ruin probability – robustness – Solvency II – reliable ruin probability – asymptotic Normality – influence function – Estimation Risk Solvency Margin (ERSM)

hal-00168714, version 1

http://hal.archives-ouvertes.fr/hal-00168714

oai:hal.archives-ouvertes.fr:hal-00168714

Contributeur : Stéphane Loisel <>

Soumis le : Mercredi 29 Août 2007, 23:32:27

Dernière modification le : Mercredi 1 Avril 2009, 14:35:26