Add to ORKGIn the renewal risk model, we study the asymptotic behavior of the expected time-integrated negative part of the process. This risk measure has been introduced by Loisel (2005). Both heavy-tailed and light-tailed claim amount distributions are investigated. The time horizon may be finite or infinite. We apply the results to an optimal allocation problem with two lines of business of an insurance company. The asymptotic behavior of the two optimal initial reserves are computed
The following problem in risk theory is considered. An insurance company, endowed with an initial ca...
This paper deals with some negatively dependent risk models with a constant interest rate, dominated...
In this paper, we consider two dependent classes of insurance business with heavy-tailed claims. The...
International audienceIn the renewal risk model, we study the asymptotic behavior of the expected ti...
In the renewal risk model, we study the asymptotic behavior of the expected time integrated negativ...
In the renewal risk model, we study the asymptotic behavior of the expected time integrated negativ...
AbstractIn this paper, we study the asymptotics of the finite-time ruin probability for a generalize...
This paper investigates the finite time ruin probability in the renewal risk model. Under some mild ...
For general risk processes, the expected time-integrated negative part of the process on a fixed tim...
This paper investigates the finite time ruin probability in the renewal risk model. Under some mild ...
AbstractThis paper investigates the finite-time ruin probability in the dependent renewal risk model...
International audienceIn ruin theory, the univariate model may be found too restrictive to describe ...
International audienceFor general risk processes, the expected time-integrated negative part of the ...
International audienceFor general risk processes, the expected time-integrated negative part of the ...
Abstract. In this paper we consider the discrete time delayed renewal risk model. We investigate wha...
The following problem in risk theory is considered. An insurance company, endowed with an initial ca...
This paper deals with some negatively dependent risk models with a constant interest rate, dominated...
In this paper, we consider two dependent classes of insurance business with heavy-tailed claims. The...
International audienceIn the renewal risk model, we study the asymptotic behavior of the expected ti...
In the renewal risk model, we study the asymptotic behavior of the expected time integrated negativ...
In the renewal risk model, we study the asymptotic behavior of the expected time integrated negativ...
AbstractIn this paper, we study the asymptotics of the finite-time ruin probability for a generalize...
This paper investigates the finite time ruin probability in the renewal risk model. Under some mild ...
For general risk processes, the expected time-integrated negative part of the process on a fixed tim...
This paper investigates the finite time ruin probability in the renewal risk model. Under some mild ...
AbstractThis paper investigates the finite-time ruin probability in the dependent renewal risk model...
International audienceIn ruin theory, the univariate model may be found too restrictive to describe ...
International audienceFor general risk processes, the expected time-integrated negative part of the ...
International audienceFor general risk processes, the expected time-integrated negative part of the ...
Abstract. In this paper we consider the discrete time delayed renewal risk model. We investigate wha...
The following problem in risk theory is considered. An insurance company, endowed with an initial ca...
This paper deals with some negatively dependent risk models with a constant interest rate, dominated...
In this paper, we consider two dependent classes of insurance business with heavy-tailed claims. The...