{"paper":{"title":"Decision-Centric Large Deviations for Data-Driven Capital Buffers in Ruin Models","license":"http://creativecommons.org/licenses/by-sa/4.0/","headline":"","cross_cats":["math.OC","math.PR","stat.TH"],"primary_cat":"math.ST","authors_text":"Bart P.G. van Parys, Bert Zwart, Yf Henkes","submitted_at":"2026-07-20T09:23:09Z","abstract_excerpt":"We consider an insurance risk model with a random walk structure in which the underlying probability law is unknown. A decision maker observes a statistic $Q_n$ computed from $n$ historical observations and then needs to choose a capital buffer of the form $C_n=n f(c,Q_n)$, where $c=\\log(1/\\delta)/n$ balances the amount of data and the tolerated ruin probability $\\delta$. The classical safe capital buffer is inversely proportional to the adjustment coefficient $\\gamma$, the exponential rate at which the ruin probability decays; when the law is unknown, this coefficient must be inferred from th"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2607.17732","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2607.17732/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}