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

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.

Keywords

• risk measure
• cumulative Parisian ruin
• stochastic orders
• surplus process