Properties of risk measures derived from ruin theory

Albrecher, H.;Denuit, Michel;Trufin, Julien
(2010) , 12 pages

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This paper studies a risk measure inherited from ruin theory and investigates some of its properties. Specifically, we consider a VaR-type risk measure defined as the smallest initial capital needed to ensure that the ultimate ruin probability is less than a given level. This VaR-type risk measure turns out to be equivalent to the VaR of the maximal deficit of the ruin process in infinite time. A related tail-VaR-type risk measure is also discussed.

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Albrecher, H., Denuit, M., & Trufin, J. (2010). Properties of risk measures derived from ruin theory (ISBA Discussion Paper 1019). https://hdl.handle.net/2078.5/33163