ScholarLens Back to search
2012•The Journal of RiskRequires access

Value-at-risk and ruin probability

Jiandong Ren

Open publisher page 3 citations

Abstract

ABSTRACT Value-at-risk (VaR) is a widely used risk measure. Despite its popularity, it has been criticized by risk managers and academics for ignoring the tail, which is the most detrimental part of the risk. In this paper we show that ultimate ruin probability, which has a long history but is unpopular in real-world applications, may actually provide useful information about financial or actuarial risks. It can also address some of the criticisms of the more popular risk measure VaR.

About this research paper

What this paper is about

ABSTRACT Value-at-risk (VaR) is a widely used risk measure. Despite its popularity, it has been criticized by risk managers and academics for ignoring the tail, which is the most detrimental part of the risk. In this paper we show that ultimate ruin probability, which has a long history but is unpopular in real-world applications, may actually provide useful information about financial or actuarial risks. It can also address some of the criticisms of the more popular risk measure VaR.

Why it matters

OpenAlex reports 3 citations for this work. Citation counts describe recorded attention and do not establish research quality.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

ABSTRACT Value-at-risk (VaR) is a widely used risk measure. Despite its popularity, it has been criticized by risk managers and academics for ignoring the tail, which is the most detrimental part of the risk. In this paper we show that ultimate ruin probability, which has a long history but is unpopular in real-world applications, may actually provide useful information about financial or actuarial risks. It can also address some of the criticisms of the more popular risk measure VaR.

Key concepts: Actuarial science, Value at risk, Popularity, Value (mathematics), Measure (data warehouse), Risk measure, Ruin theory, Coherent risk measure

Related papers

Related paper 1Related paper 2Related paper 3
Back to paper searchBrowse research topicsOriginal source
Value-at-risk and ruin probability — Research Paper | ScholarLens