Value-at-risk and ruin probability

被引：2
|
作者：
Ren, Jiandong [1 ]
机构：
[1] Univ Western Ontario, Dept Stat & Actuarial Sci, London, ON N6A 5B7, Canada
来源：
JOURNAL OF RISK | 2012年 / 14卷 / 03期
关键词：
D O I：
10.21314/JOR.2012.243
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Value-at-risk (VaR) is a widely used risk measure. Despite its popularity, it has been criticized by risk managers and academics for ignoring the tail, which is the most detrimental part of the risk. In this paper we show that ultimate ruin probability, which has a long history but is unpopular in real-world applications, may actually provide useful information about financial or actuarial risks. It can also address some of the criticisms of the more popular risk measure VaR.
引用
收藏
页码：53 / 62
页数：10
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