On the distribution tail of an integrated risk model: A numerical approach

M. Brokate; C. Klüppelberg; R. Kostadinova; R. Maller; R. C. Seydel

doi:10.1016/j.insmatheco.2007.01.006

On the distribution tail of an integrated risk model: A numerical approach

M. Brokate, C. Klüppelberg, R. Kostadinova, R. Maller, R. C. Seydel

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

We consider an insurance risk process with the possibility to invest the capital reserve into a portfolio consisting of a risky asset and a riskless asset. The stock price is modelled by an exponential Lévy process and the riskless interest rate is assumed to be constant. We aim at the risk assessment of the integrated risk process in terms of a high quantile or the far out distribution tail. We indicate an application to an optimal investment strategy of an insurer.

Original language	English
Pages (from-to)	101-106
Number of pages	6
Journal	Insurance: Mathematics and Economics
Volume	42
Issue number	1
DOIs	https://doi.org/10.1016/j.insmatheco.2007.01.006
State	Published - Feb 2008

Keywords

Exponential Lévy process
Finite difference method
Integrated insurance risk process
Integrated risk management
Optimal investment strategy
Partial integro-differential equation
Tail behaviour
Value-at-Risk

Access to Document

10.1016/j.insmatheco.2007.01.006

Cite this

@article{0694419bb60d4d1f9a5b5a132117a818,

title = "On the distribution tail of an integrated risk model: A numerical approach",

abstract = "We consider an insurance risk process with the possibility to invest the capital reserve into a portfolio consisting of a risky asset and a riskless asset. The stock price is modelled by an exponential L{\'e}vy process and the riskless interest rate is assumed to be constant. We aim at the risk assessment of the integrated risk process in terms of a high quantile or the far out distribution tail. We indicate an application to an optimal investment strategy of an insurer.",

keywords = "Exponential L{\'e}vy process, Finite difference method, Integrated insurance risk process, Integrated risk management, Optimal investment strategy, Partial integro-differential equation, Tail behaviour, Value-at-Risk",

author = "M. Brokate and C. Kl{\"u}ppelberg and R. Kostadinova and R. Maller and Seydel, {R. C.}",

note = "Funding Information: The third author would like to thank for financial support by the Deutsche Forschungsgemeinschaft through the graduate program “Angewandte Algorithmische Mathematik” at the Munich University of Technology. The fourth author is supported in part by ARC grant DP0210572.",

year = "2008",

month = feb,

doi = "10.1016/j.insmatheco.2007.01.006",

language = "English",

volume = "42",

pages = "101--106",

journal = "Insurance: Mathematics and Economics",

issn = "0167-6687",

publisher = "Elsevier B.V.",

number = "1",

}

TY - JOUR

T1 - On the distribution tail of an integrated risk model

T2 - A numerical approach

AU - Brokate, M.

AU - Klüppelberg, C.

AU - Kostadinova, R.

AU - Maller, R.

AU - Seydel, R. C.

N1 - Funding Information: The third author would like to thank for financial support by the Deutsche Forschungsgemeinschaft through the graduate program “Angewandte Algorithmische Mathematik” at the Munich University of Technology. The fourth author is supported in part by ARC grant DP0210572.

PY - 2008/2

Y1 - 2008/2

N2 - We consider an insurance risk process with the possibility to invest the capital reserve into a portfolio consisting of a risky asset and a riskless asset. The stock price is modelled by an exponential Lévy process and the riskless interest rate is assumed to be constant. We aim at the risk assessment of the integrated risk process in terms of a high quantile or the far out distribution tail. We indicate an application to an optimal investment strategy of an insurer.

AB - We consider an insurance risk process with the possibility to invest the capital reserve into a portfolio consisting of a risky asset and a riskless asset. The stock price is modelled by an exponential Lévy process and the riskless interest rate is assumed to be constant. We aim at the risk assessment of the integrated risk process in terms of a high quantile or the far out distribution tail. We indicate an application to an optimal investment strategy of an insurer.

KW - Exponential Lévy process

KW - Finite difference method

KW - Integrated insurance risk process

KW - Integrated risk management

KW - Optimal investment strategy

KW - Partial integro-differential equation

KW - Tail behaviour

KW - Value-at-Risk

UR - http://www.scopus.com/inward/record.url?scp=38649143202&partnerID=8YFLogxK

U2 - 10.1016/j.insmatheco.2007.01.006

DO - 10.1016/j.insmatheco.2007.01.006

M3 - Article

AN - SCOPUS:38649143202

SN - 0167-6687

VL - 42

SP - 101

EP - 106

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

IS - 1

ER -

On the distribution tail of an integrated risk model: A numerical approach

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this