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math.PR2020
Approximation of the fixed-probability level for a compound renewal process
Vsevolod Malinovskii
Dealing with compound renewal process with generally distributed jump sizes and inter-renewal intervals, we focus on the approximation for the fixed-probability level, which is the…
q-fin.RM2020
Value-at-Risk substitute for non-ruin capital is fallacious and redundant
Vsevolod Malinovskii
This seemed impossible to use a theoretically adequate but too sophisticated risk measure called non-ruin capital, whence its widespread (including regulatory documents) replacemen…