smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2026SMQ / 56554759102993
Insurance risk models in a heterogeneous time-dependent population: scaling limits and ruin probabilities
Arsene Brice Zotsa Ngoufack / Hélène Guérin / Jean-François Renaud / Michel Mandjes
insurance / probabilityResource overview

Insurance risk models in a heterogeneous time-dependent population: scaling limits and ruin probabilities

Paper2026

by Arsene Brice Zotsa Ngoufack, Hélène Guérin, Jean-François Renaud, Michel Mandjes

Tags
insuranceprobabilitystochastic processes

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for risk measurement and stress and probability and statistical reasoning. Specialist prerequisites vary by paper.

Before you read

  1. Random Variables and Distributions

    Read the distributions and expectations used in probabilistic arguments.

  2. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

  3. Conditional Expectation

    Interpret expectations after information is observed.

Go further

  1. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

  2. Backtesting VaR and ES: Coverage Tests and Model Validation

    Check forecasts against realised losses.

  3. Confidence Intervals and Hypothesis Testing

    Assess uncertainty rather than treating an estimate as a fact.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Quantitative Risk Management Explore Probability, Statistics and Financial Data

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Arsene Brice Zotsa Ngoufack, Hélène Guérin, Jean-François Renaud, Michel Mandjes

2