A VaR-Type Risk Measure Derived from Cumulative Parisian Ruin for the Classical Risk Model

Mohamed Amine Lkabous and Jean-François Renaud
Additional contact information
Mohamed Amine Lkabous: Département de mathématiques, Université du Québec à Montréal (UQAM), Montréal, QC H2X 3Y7, Canada
Jean-François Renaud: Département de mathématiques, Université du Québec à Montréal (UQAM), Montréal, QC H2X 3Y7, Canada

Risks, 2018, vol. 6, issue 3, 1-11

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.

Keywords: risk measure; cumulative Parisian ruin; stochastic orders; surplus process (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://www.mdpi.com/2227-9091/6/3/85/pdf (application/pdf)
https://www.mdpi.com/2227-9091/6/3/85/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:6:y:2018:i:3:p:85-:d:165493

Access Statistics for this article

Risks is currently edited by Mr. Claude Zhang

More articles in Risks from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().