Department Seminar by Etienne Marceau

Please Note: This seminar will be given online.

Lundberg–Aumann–Serrano index of riskiness and ruin-based risk measures

For an insurance company, effective risk management requires an appropriate measurement of the risk associated with an insurance portfolio. In this talk, my objective is to discuss about risk measurement defined within discrete-time risk models under a different perspective at the frontier of the theory of risk measures and ruin theory.  I present and examine the properties of the Lundberg–Aumann–Serrano index of riskiness and two ruin-based risk measures. The Lundberg–Aumann–Serrano index is defined as the multiplicative inverse of the so-called Lundberg adjustment coefficient. It is also inspired by the Aumann–Serrano index, recently proposed as a new economic index of riskiness. I will briefly consider two ruin-based risk measures: ruin-based VaR and ruin-based TVaR. I will investigate applications within the classical discrete-time risk model and extensions allowing temporal dependence. The impact of the temporal dependence on the Lundberg–Aumann–Serrano index and the two ruin-based risk measures within those different risk models is also studied. I will discuss capital allocation based on Euler’s principle for the Lundberg–Aumann–Serrano index and for the ruin-based TVaR. I will conclude the talk with numerical examples to illustrate the applicability of the Lundberg–Aumann–Serrano index of riskiness and the two ruin-based risk measures.