Some expressions of a generalized version of the expected time in the red and the expected area in red

DOI10.1007/s11009-021-09915-0zbMath1489.91216OpenAlexW4205412072MaRDI QIDQ2152232

Pierre Zuyderhoff, Julien Trufin, Julien Callant

Publication date: 7 July 2022

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/336581/3/Callant_Trufin_Zuyderhoff_Revision2.pdf

zbMATH Keywords

asymptotic behaviorupper boundLévy processesexpected area in redexpected time in the red

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Properties of a risk measure derived from the expected area in red
• Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation
• How long is the surplus below zero?
• Large deviations for the time-integrated negative parts of some processes
• Differentiation of some functionals of risk processes, and optimal reserve allocation

This page was built for publication: Some expressions of a generalized version of the expected time in the red and the expected area in red