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Dynamic risk measures for stochastic asset processes from ruin theory

  • Yasutaka Shimizu (a1) and Shuji Tanaka (a2)

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.

Corresponding author
*Correspondence to: Yasutaka Shimizu, Department of Applied Mathematics, Waseda University, Shinjuku-ku, Tokyo 169-8555, Japan. E-mail:
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Annals of Actuarial Science
  • ISSN: 1748-4995
  • EISSN: 1748-5002
  • URL: /core/journals/annals-of-actuarial-science
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