Castañer, Anna; Claramunt, M. Mercè; Mármol, Maite - Facultat d'Economia i Empresa, Universitat de Barcelona - 2014
probability of ruin but also the random variable deficit at ruin if ruin occurs. The discounted penalty function (Gerber & Shiu … the deficit at ruin if ruin occurs. We consider the classical risk theory model assuming a Poisson process and an … deficit at ruin if ruin occurs (the expectation, the Value at Risk and the Tail Value at Risk). …
