TY - JOUR
T1 - Approximating the Dynamic VaR Risk Measure in Ruin Theory
AU - Cui, Zhenyu
AU - Su, Wen
AU - Zhang, Zhimin
N1 - Publisher Copyright:
© The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2025.
PY - 2025/12
Y1 - 2025/12
N2 - In this paper, we derive explicit formulas for approximating dynamic value at risk (VaR) and related risk measures implied from ruin probabilities, by combining Laguerre series expansion and the Dirac delta family method in a novel way. The approximation error is analyzed and convergence rates are obtained. Numerical examples demonstrate the accuracy of the proposed formulas in several common claim size distributions under the compound Poisson risk model.
AB - In this paper, we derive explicit formulas for approximating dynamic value at risk (VaR) and related risk measures implied from ruin probabilities, by combining Laguerre series expansion and the Dirac delta family method in a novel way. The approximation error is analyzed and convergence rates are obtained. Numerical examples demonstrate the accuracy of the proposed formulas in several common claim size distributions under the compound Poisson risk model.
KW - Complex-step method
KW - Dirac delta family
KW - Dynamic VaR
KW - Laguerre series expansion
KW - Ruin probabilities
UR - https://www.scopus.com/pages/publications/105024124782
UR - https://www.scopus.com/pages/publications/105024124782#tab=citedBy
U2 - 10.1007/s11009-025-10233-y
DO - 10.1007/s11009-025-10233-y
M3 - Article
AN - SCOPUS:105024124782
SN - 1387-5841
VL - 27
JO - Methodology and Computing in Applied Probability
JF - Methodology and Computing in Applied Probability
IS - 4
M1 - 99
ER -