IDEAS home Printed from https://ideas.repec.org/a/cup/anacsi/v12y2018i02p249-268_00.html
   My bibliography  Save this article

Dynamic risk measures for stochastic asset processes from ruin theory

Author

Listed:
  • Shimizu, Yasutaka
  • Tanaka, Shuji

Abstract

This article considers a dynamic version of risk measures for stochastic asset processes and gives a mathematical benchmark for required capital in a solvency regulation framework. Some dynamic risk measures, based on the expected discounted penalty function launched by Gerber and Shiu, are proposed to measure solvency risk from the company’s going-concern point of view. This study proposes a novel mathematical justification of a risk measure for stochastic processes as a map on a functional path space of future loss processes.

Suggested Citation

  • Shimizu, Yasutaka & Tanaka, Shuji, 2018. "Dynamic risk measures for stochastic asset processes from ruin theory," Annals of Actuarial Science, Cambridge University Press, vol. 12(2), pages 249-268, September.
    • Handle: RePEc:cup:anacsi:v:12:y:2018:i:02:p:249-268_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S1748499518000064/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. He, Yue & Kawai, Reiichiro & Shimizu, Yasutaka & Yamazaki, Kazutoshi, 2023. "The Gerber-Shiu discounted penalty function: A review from practical perspectives," Insurance: Mathematics and Economics, Elsevier, vol. 109(C), pages 1-28.
    2. Yue He & Reiichiro Kawai & Yasutaka Shimizu & Kazutoshi Yamazaki, 2022. "The Gerber-Shiu discounted penalty function: A review from practical perspectives," Papers 2203.10680, arXiv.org, revised Dec 2022.
    3. Yasutaka Shimizu & Zhimin Zhang, 2019. "Asymptotically Normal Estimators of the Ruin Probability for Lévy Insurance Surplus from Discrete Samples," Risks, MDPI, vol. 7(2), pages 1-22, April.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:anacsi:v:12:y:2018:i:02:p:249-268_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/aas .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.