Differentiation of some functionals of risk processes, and optimal reserve allocation

DOI10.1239/jap/1118777177zbMath1079.60038OpenAlexW2118877674MaRDI QIDQ5697590

Stéphane Loisel

Publication date: 18 October 2005

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1118777177

zbMATH Keywords

ruin theoryrisk measuresample path propertymultidimensional risk process

Mathematics Subject Classification ID

Sample path properties (60G17) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (17)

Some expressions of a generalized version of the expected time in the red and the expected area in red ⋮ Some multivariate risk indicators: Minimization by using a Kiefer–Wolfowitz approach to the mirror stochastic algorithm ⋮ Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model ⋮ The Omega model: from bankruptcy to occupation times in the red ⋮ Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion ⋮ Parisian ruin in the dual model with applications to the \(G/M/1\) queue ⋮ On the area in the red of Lévy risk processes and related quantities ⋮ On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications ⋮ TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems ⋮ Large deviations for the time-integrated negative parts of some processes ⋮ An optimization approach to adaptive multi-dimensional capital management ⋮ Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation ⋮ Explicit ruin formulas for models with dependence among risks ⋮ Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks ⋮ Properties of a risk measure derived from the expected area in red ⋮ On differentiability of ruin functions under Markov-modulated models ⋮ Ruin-based risk measures in discrete-time risk models

Cites Work

• Mathematical fun with ruin theory
• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• On some measures of the severity of ruin in the classical Poisson model
• How long is the surplus below zero?

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