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Article Dans Une Revue Journal of Mathematical Analysis and Applications Année : 2010

Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation

Résumé

In the renewal risk model, we study the asymptotic behavior of the expected time-integrated negative part of the process. This risk measure has been introduced by Loisel (2005). Both heavy-tailed and light-tailed claim amount distributions are investigated. The time horizon may be finite or infinite. We apply the results to an optimal allocation problem with two lines of business of an insurance company. The asymptotic behavior of the two optimal initial reserves are computed.
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Dates et versions

hal-00372525 , version 1 (17-04-2009)
hal-00372525 , version 2 (24-09-2009)

Identifiants

  • HAL Id : hal-00372525 , version 2

Citer

Romain Biard, Stéphane Loisel, Claudio Macci, Noel Veraverbeke. Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation. Journal of Mathematical Analysis and Applications, 2010, 367 (2), pp.535-549. ⟨hal-00372525v2⟩
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