Differentiation of some functionals of risk processes, and optimal reserve allocation
From MaRDI portal
Publication:5697590
DOI10.1239/jap/1118777177zbMath1079.60038MaRDI QIDQ5697590
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
Related Items
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, 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, 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, On differentiability of ruin functions under Markov-modulated models, 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
Cites Work
