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

Romain Biard (), Stéphane Loisel, Claudio Macci () and Noel Veraverbeke ()
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Romain Biard: LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon
Claudio Macci: DIPMAT - Dipartimento di Matematica [Roma II] - Università degli Studi di Roma Tor Vergata [Roma, Italia] = University of Rome Tor Vergata [Rome, Italy] = Université de Rome Tor Vergata [Rome, Italie]
Noel Veraverbeke: Center for Statistics - UHasselt - Hasselt University

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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.

Keywords: Ruin theory; heavy-tailed and light-tailed claim size distribution; risk measure; optimal reserve allocation (search for similar items in EconPapers)
Date: 2010
Note: View the original document on HAL open archive server: https://hal.science/hal-00372525v2
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Citations: View citations in EconPapers (8)

Published in Journal of Mathematical Analysis and Applications, 2010, 367 (2), pp.535-549

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00372525

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