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

Abstract : 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.
Type de document :
Article dans une revue
Insurance Mathematics and Economics, 2008, 42 (2), pp.746-762. <10.1016/j.insmatheco.2007.08.007>
Liste complète des métadonnées


https://hal.archives-ouvertes.fr/hal-00168714
Contributeur : Stéphane Loisel <>
Soumis le : mercredi 29 août 2007 - 23:32:27
Dernière modification le : jeudi 31 décembre 2015 - 01:03:04
Document(s) archivé(s) le : jeudi 8 avril 2010 - 21:32:13

Fichier

Loisel-Mazza-Rulliere-ISFA-WP2...
Fichiers produits par l'(les) auteur(s)

Identifiants

Collections

Citation

Stéphane Loisel, Christian Mazza, Didier Rullière. Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin.. Insurance Mathematics and Economics, 2008, 42 (2), pp.746-762. <10.1016/j.insmatheco.2007.08.007>. <hal-00168714>

Partager

Métriques

Consultations de
la notice

314

Téléchargements du document

214