Journal of Applied Probability

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

Stéphane Loisel

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Abstract

For general risk processes, we introduce and study the expected time-integrated negative part of the process on a fixed time interval. Differentiation theorems are stated and proved. They make it possible to derive the expected value of this risk measure, and to link it with the average total time below 0, studied by Dos Reis, and the probability of ruin. We carry out differentiation of other functionals of one-dimensional and multidimensional risk processes with respect to the initial reserve level. Applications to ruin theory, and to the determination of the optimal allocation of the global initial reserve that minimizes one of these risk measures, illustrate the variety of fields of application and the benefits deriving from an efficient and effective use of such tools.

Article information

Source
J. Appl. Probab. Volume 42, Number 2 (2005), 379-392.

Dates
First available in Project Euclid: 14 June 2005

Permanent link to this document
http://projecteuclid.org/euclid.jap/1118777177

Digital Object Identifier
doi:10.1239/jap/1118777177

Mathematical Reviews number (MathSciNet)
MR2145483

Zentralblatt MATH identifier
1079.60038

Subjects
Primary: 60G17: Sample path properties
Secondary: 60G55: Point processes 91B30: Risk theory, insurance 91B32: Resource and cost allocation 62P05: Applications to actuarial sciences and financial mathematics

Keywords
Ruin theory sample path property optimal reserve allocation multidimensional risk process risk measure

Citation

Loisel, Stéphane. Differentiation of some functionals of risk processes, and optimal reserve allocation. J. Appl. Probab. 42 (2005), no. 2, 379--392. doi:10.1239/jap/1118777177. http://projecteuclid.org/euclid.jap/1118777177.


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References

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