Bridging risk measures and classical ruin theory by Jose Garrido

Event Date: 

Monday, October 31, 2016 -
3:30pm to 5:00pm

Event Date Details: 

Refreshments served at 3:15 p.m

Event Location: 

  • South Hall 5607F

Jose Garrido — Concordia University 

Title: Bridging risk measures and classical ruin theory

Abstract: Recent research has established some possible bridges between ruin theory for the Cramer-Lundberg risk model with insurance risk management.

Insurance risk models typically decompose into claim frequency and claim severity components, but also include other elements such as the premium loading. These proposed bridges are characterized by only some elements of the insurance risk process, typically the claim severity.

Here we propose new risk measures based on solvency criteria that include all the insurance risk model components. An application to the optimal capital allocation problem serves as an illustrative use of these new risk measures.