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

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Auteurs
Date

2010

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Type de document
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Source

HAL SHS (Sciences de l’Homme et de la Société)

Collection

Archives ouvertes

Organisation

Centre pour la communication scientifique directe

Licence

info:eu-repo/semantics/OpenAccess

Mots-clés En

Ruin theory heavy-tailed and light-tailed claim size distribution risk measure optimal reserve allocation

Sujets proches En

Animal behavior Habits and behavior

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Romain Biard et al., « Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation », HAL SHS (Sciences de l’Homme et de la Société), ID : 10670/1.a23950...

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Résumé En

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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