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

Abstract : 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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Contributor : Stéphane Loisel <>
Submitted on : Thursday, September 24, 2009 - 9:49:35 PM
Last modification on : Tuesday, July 9, 2019 - 4:32:31 PM
Long-term archiving on : Wednesday, September 22, 2010 - 1:22:07 PM

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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, Elsevier, 2010, 367 (2), pp.535-549. ⟨hal-00372525v2⟩

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