A VaR-type risk measure derived from cumulative parisian ruin for the classical risk model

Lkabous, Mohamed Amine and Renaud, Jean François (2018) A VaR-type risk measure derived from cumulative parisian ruin for the classical risk model. Risks, 6 (3), [85]. (doi:10.3390/risks6030085).

Record type: Article

Abstract

In this short paper, we study a VaR-type risk measure introduced by Guérin and Renaud and which is based on cumulative Parisian ruin. We derive some properties of this risk measure and we compare it to the risk measures of Trufin et al. and Loisel and Trufin.

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e-pub ahead of print date: 24 August 2018

Published date: 1 September 2018

Additional Information: Funding in support of this work was provided by the Natural Sciences and Engineering Research Council of Canada (NSERC). M.A.L. thanks the Institut des sciences mathématiques (ISM) and the Faculté des sciences at UQAM for their doctoral scholarships. Publisher Copyright: © 2018 by the authors. Licensee MDPI, Basel, Switzerland.

Keywords: Cumulative parisian ruin, Risk measure, Stochastic orders, Surplus process