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Risks 2018, 6(3), 85; https://doi.org/10.3390/risks6030085

A VaR-Type Risk Measure Derived from Cumulative Parisian Ruin for the Classical Risk Model

Département de mathématiques, Université du Québec à Montréal (UQAM), Montréal, QC H2X 3Y7, Canada
These authors contributed equally to this work.
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Received: 30 July 2018 / Revised: 21 August 2018 / Accepted: 23 August 2018 / Published: 24 August 2018
(This article belongs to the Special Issue Risk, Ruin and Survival: Decision Making in Insurance and Finance)
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Abstract

In this short paper, we study a VaR-type risk measure introduced by Guérin and Renaud and which is based on cumulative Parisian ruin. We derive some properties of this risk measure and we compare it to the risk measures of Trufin et al. and Loisel and Trufin. View Full-Text
Keywords: risk measure; cumulative Parisian ruin; stochastic orders; surplus process risk measure; cumulative Parisian ruin; stochastic orders; surplus process
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Lkabous, M.A.; Renaud, J.-F. A VaR-Type Risk Measure Derived from Cumulative Parisian Ruin for the Classical Risk Model. Risks 2018, 6, 85.

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