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

DOI10.1016/j.jmaa.2010.01.051zbMath1192.91111MaRDI QIDQ968848

Stéphane Loisel, Claudio Macci, Romain Biard, Noël Veraverbeke

Publication date: 10 May 2010

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2010.01.051

zbMATH Keywords

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

Mathematics Subject Classification ID

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

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