Properties of a risk measure derived from the expected area in red

Abstract : This paper studies a new risk measure derived from the expected area in red introduced in Loisel (2005). Specifically, we derive various properties of a risk measure defined as the smallest initial capital needed to ensure that the expected time-integrated negative part of the risk process on a fixed time interval [0; T] (T can be infinite) is less than a given predetermined risk limit. We also investigate the optimal risk limit allocation: given a risk limit set at company level for the sum of the expected areas in red of all lines, we determine the way(s) to allocate this risk limit to the subsequent business lines in order to minimize the overall capital needs.
Type de document :
Article dans une revue
Insurance: Mathematics and Economics, Elsevier, 2014, 55, pp.191-199
Liste complète des métadonnées

Littérature citée [15 références]  Voir  Masquer  Télécharger

https://hal.archives-ouvertes.fr/hal-00870224
Contributeur : Stéphane Loisel <>
Soumis le : dimanche 6 octobre 2013 - 13:54:13
Dernière modification le : jeudi 31 décembre 2015 - 01:03:07
Document(s) archivé(s) le : mardi 7 janvier 2014 - 03:00:31

Fichier

RiskMeas_Capital_from_EAR.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

  • HAL Id : hal-00870224, version 1

Collections

Citation

Stéphane Loisel, Julien Trufin. Properties of a risk measure derived from the expected area in red. Insurance: Mathematics and Economics, Elsevier, 2014, 55, pp.191-199. 〈hal-00870224〉

Partager

Métriques

Consultations de
la notice

528

Téléchargements du document

254