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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Journal of Mathematical Analysis and applications, Elsevier, 2010, 367 (2), pp.535-549
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Contributeur : Stéphane Loisel <>
Soumis le : jeudi 24 septembre 2009 - 21:49:35
Dernière modification le : jeudi 31 décembre 2015 - 01:03:04
Document(s) archivé(s) le : mercredi 22 septembre 2010 - 13:22:07

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  • HAL Id : hal-00372525, version 2

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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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