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Journal of Mathematical Analysis and applications 367, 2 (2010) 535-549

Versions disponibles :

v1 (20-04-2009)

v2 (25-09-2009)

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

Romain Biard 1, Stéphane Loisel (  Auteur correspondant ) 1, Claudio Macci 2, Noel Veraverbeke 3

(2010)

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.

1 :	Laboratoire de Sciences Actuarielle et Financière (SAF)
	Université Claude Bernard - Lyon I : EA2429
2 :	Dipartimento di Matematica [Roma II] (DIPMAT)
	Universita degli studi di Roma Tor Vergata
3 :	Center for Statistics
	Hasselt University

Domaine

:

Sciences de l'Homme et Société/Economies et finances Mathématiques/Probabilités

Mots Clés : Ruin theory – heavy-tailed and light-tailed claim size distribution – risk measure – optimal reserve allocation

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Contributeur : Stéphane Loisel <>

Soumis le : Jeudi 24 Septembre 2009, 21:49:35

Dernière modification le : Jeudi 15 Juillet 2010, 23:26:22