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Title: | Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation | Authors: | BIARD, R. LOISEL, S. Macci, C. VERAVERBEKE, Noel |
Issue Date: | 2010 | Publisher: | ELSEVIER SCIENCE BV, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS | Source: | JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 367(2). p. 535-549 | 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 [1]. 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. | Notes: | R. Biarda, S. Loisela: Université de Lyon, Université Claude Bernard Lyon 1, Institut de Science Financière et d'Assurances, 50 Avenue Tony Garnier, F-69007 Lyon, France - C. Maccib: Dipartimento di Matematica, Università di Roma Tor Vergata, Via della Ricerca Scientifica, I-00133 Roma, Italy - N. Veraverbeke: Center for Statistics, Hasselt University, Agoralaan, B-3590 Diepenbeek, Belgium | Keywords: | Ruin theory, heavy-tailed and light-tailed claim size distribution, risk measure, optimal reserve allocation. | Document URI: | http://hdl.handle.net/1942/10562 | ISSN: | 0022-247X | e-ISSN: | 1096-0813 | DOI: | 10.1016/j.jmaa.2010.01.051 | ISI #: | 000276524700020 | Category: | A1 | Type: | Journal Contribution | Validations: | ecoom 2011 |
Appears in Collections: | Research publications |
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NoelVeraverbeke8.pdf | Non Peer-reviewed author version | 240.68 kB | Adobe PDF | View/Open |
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