Trufin, Julien; Albrecher, Hansjoerg; Denuit, Michel M - In: The Geneva Risk and Insurance Review 36 (2011) 2, pp. 174-188
This paper studies a risk measure inherited from ruin theory and investigates some of its properties. Specifically, we consider a value-at-risk (VaR)-type risk measure defined as the smallest initial capital needed to ensure that the ultimate ruin probability is less than a given level. This...