Seminar Room 3, Espais de Recerca (ERE)

Joint activity of Pensions and Insurance Seminar (Research Group on Actuarial and Financial Modelling- 2014SGR152) and Riskcenter-IREA

Recent research has investigated possible bridges between ruin theory for the Cramer-Lundberg risk model in actuarial science with risk measures in risk management.

Insurance risk models typically decompose into claim frequency and claim severity components, but also include other elements such as the premium loading. These proposed bridges are characterized by only some elements of the insurance risk process, typically the claim severity. Here we propose new risk measures based on solvency criteria that include all the insurance risk model components.

An application to the optimal capital allocation problem serves as an illustrative use of these new risk measures.