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

DOI10.1239/JAP/1118777177MaRDI QIDQ5697590zbMATH OpenOpenAlexFDO

Authors 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

multidimensional risk processrisk measureruin theorysample path property

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(20)

• On differentiability of ruin functions under Markov-modulated models
• Stochastic differential equations for compounded risk reserves
• Parisian ruin in the dual model with applications to the \(G/M/1\) queue
• An optimization approach to adaptive multi-dimensional capital management
• The Omega model: from bankruptcy to occupation times in the red
• Some expressions of a generalized version of the expected time in the red and the expected area in red
• Explicit ruin formulas for models with dependence among risks
• Large deviations for the time-integrated negative parts of some processes
• Some multivariate risk indicators: minimization by using a Kiefer-Wolfowitz approach to the mirror stochastic algorithm
• On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications
• scientific article; zbMATH DE number 7033720 (Why is no real title available?)
• TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
• Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model
• Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion
• On the area in the red of Lévy risk processes and related quantities
• Competitive insurance pricing strategies for multiple lines of business: a game-theoretic approach
• 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
• Ruin-based risk measures in discrete-time risk models
• Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation

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