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Dynamic risk measures within discrete-time risk models. (English) Zbl 1312.91057

Li, Haijun (ed.) et al., Stochastic orders in reliability and risk. In honor of Professor Moshe Shaked. Based on the talks presented at the international workshop on stochastic orders in reliability and risk management, SORR2011, Xiamen, China, June 27–29, 2011. New York, NY: Springer (ISBN 978-1-4614-6891-2/hbk; 978-1-4614-6892-9/ebook). Lecture Notes in Statistics 208. Proceedings, 257-272 (2013).
Summary: In this paper, we examine the capital assessment for an insurance portfolio within the classical discrete-time risk model and within two of its extensions: the classical discrete-time risk model with dependent lines of business and the classical discrete-time risk model with random income. We use finite-time ruin probabilities VaR and TVaR dynamic risk measures over a finite-time horizon. We apply results on stochastic orders to examine the riskiness of the portfolio via the dynamic TVaR. Numerical examples are provided to illustrate the topics discussed in this paper.
For the entire collection see [Zbl 1268.60007].

MSC:

91B30 Risk theory, insurance (MSC2010)
91G10 Portfolio theory
62P05 Applications of statistics to actuarial sciences and financial mathematics
60E15 Inequalities; stochastic orderings
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