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Risque de décès et risque de ruine: Réflexions sur la mesure du risque de ruine

Published online by Cambridge University Press:  29 August 2014

Par Marc-Henri Amsler*
Affiliation:
Lausanne
*
Ecole des H.E.C., Université, CH-1015 Lausanne
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Summary

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The paper proposes a three parameter measure by which the risk of a portfolio can be assessed. The parameters are: the probability of ruin, the severity of ruin (i.e. the amount of the deficit when ruin occurs) and the time of ruin. This type of analysis does not lend itself to closed form solutions, but it can be easily carried out on a PC. The author presents some theoretical and practical examples.

Type
Workshop
Copyright
Copyright © International Actuarial Association 1992