Dynamic risk measures for stochastic asset processes from ruin theory
Dynamic risk measures for stochastic asset processes from ruin theory
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DOI：
10.1017/s1748499518000064
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发表时间：
2018-02
影响因子：
1.7
通讯作者：
Y. Shimizu;Shuji Tanaka
中科院分区：
文献类型：
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作者：
Y. Shimizu;Shuji Tanaka
摘要本文考虑了随机资产过程的风险度量的一个动态版本，并给出了偿付能力监管框架中资本要求的数学基准。基于Gerber和Shiu推出的预期罚金贴现函数，提出了一些动态风险度量方法，从公司持续经营的角度对偿付能力风险进行度量。本文提出了一种新的数学证明，将随机过程的风险度量作为未来损失过程的函数路径空间上的映射。
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.