11 research outputs found

    Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation

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    In 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.Ruin theory; heavy-tailed and light-tailed claim size distribution; risk measure; optimal reserve allocation

    Relative Hazard Rate Estimation for Right Censored and Left Truncated Data

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    In medical research differences among treatment groups are a common focus of study. The concept of relative hazard rate is a tool for comparing two groups in terms of their difference in risk rates. A kernel estimator is proposed in the case where both samples are subject to left truncation and right censoring and an iid representation is obtained in this setup. The asymptotic distribution and the asymptotic mean squared error of the estimator are obtained. An application to the famous Channing House data set illustrates the theory

    Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation

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    International audienceIn 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

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    The high molecular weight subunits of wheat glutenin and their role in determining wheat processing properties

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