Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation
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Publication:968848
DOI10.1016/j.jmaa.2010.01.051zbMath1192.91111MaRDI QIDQ968848
Noël Veraverbeke, Claudio Macci, Stéphane Loisel, Romain Biard
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
ruin theory; risk measure; heavy-tailed and light-tailed claim size distribution; optimal reserve allocation
60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)
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