Dynamic risk measures for stochastic asset processes from ruin theory

Yasutaka Shimizu and Shuji Tanaka

Annals of Actuarial Science, 2018, vol. 12, issue 2, 249-268

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.

Date: 2018
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