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Differentiation of some functionals of multidimensional risk processes and determination of optimal reserve allocation

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  • Stéphane Loisel

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

Abstract

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  • Stéphane Loisel, 2005. "Differentiation of some functionals of multidimensional risk processes and determination of optimal reserve allocation," Post-Print hal-00397287, HAL.
    • Handle: RePEc:hal:journl:hal-00397287
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    Citations

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    Cited by:

    1. Lkabous, Mohamed Amine & Wang, Zijia, 2023. "On the area in the red of Lévy risk processes and related quantities," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 257-278.
    2. Florin Avram & Sooie-Hoe Loke, 2018. "On Central Branch/Reinsurance Risk Networks: Exact Results and Heuristics," Risks, MDPI, vol. 6(2), pages 1-18, April.
    3. Denuit, Michel & Robert, Christian Y., 2022. "Dynamic conditional mean risk sharing in the compound Poisson surplus model," LIDAM Discussion Papers ISBA 2022034, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    4. Denuit, Michel & Robert, Christian Y., 2023. "Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model," Insurance: Mathematics and Economics, Elsevier, vol. 112(C), pages 23-32.
    5. G. A. Delsing & M. R. H. Mandjes & P. J. C. Spreij & E. M. M. Winands, 2018. "An optimization approach to adaptive multi-dimensional capital management," Papers 1812.08435, arXiv.org.
    6. Julien Callant & Julien Trufin & Pierre Zuyderhoff, 2022. "Some Expressions of a Generalized Version of the Expected Time in the Red and the Expected Area in Red," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 595-611, June.
    7. Delsing, G.A. & Mandjes, M.R.H. & Spreij, P.J.C. & Winands, E.M.M., 2019. "An optimization approach to adaptive multi-dimensional capital management," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 87-97.
    8. Mohamed Amine Lkabous & Jean-François Renaud, 2018. "A VaR-Type Risk Measure Derived from Cumulative Parisian Ruin for the Classical Risk Model," Risks, MDPI, vol. 6(3), pages 1-11, August.
    9. Esther Frostig & Adva Keren–Pinhasik, 2017. "Parisian ruin in the dual model with applications to the G/M/1 queue," Queueing Systems: Theory and Applications, Springer, vol. 86(3), pages 261-275, August.
    10. Cénac P. & Maume-Deschamps V. & Prieur C., 2012. "Some multivariate risk indicators: Minimization by using a Kiefer–Wolfowitz approach to the mirror stochastic algorithm," Statistics & Risk Modeling, De Gruyter, vol. 29(1), pages 47-72, March.
    11. Cossette, Hélène & Marceau, Etienne & Trufin, Julien & Zuyderhoff, Pierre, 2020. "Ruin-based risk measures in discrete-time risk models," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 246-261.

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