Risk Measures and Multivariate Extensions of Breiman´s Lermma


  • Profª Anne-Laure Fougères – Université Claude Bernard Lyon 1
  • FCUL (DEIO) – Campo Grande – Bloco C6 Piso 4 – Sala 6.4.30 – 15h
  • Quarta-feira, 2 de Junho de 2010

Modeling insurance risks is a task that received an increasing attention because of Solvency Capital Requirements.  The ruin probability and the Value-at-Risk are standard risk measures to assess regulatory capital.
In this talk we focus on discrete time models for finite time horizon.  Several results are available in the literature allowing to calibrate the ruin probability by means of the sum of the tail probabilities of individual claim amounts.  We exhibit new situations where the ruin probability and the Value-at-Risk admit computable equivalents. This is a joint work with Cécile Mercadier (Université Lyon 1) and Philippe Soulier (Université Paris Ouest – Nanterre).