Differentiation of some functionals of risk processes and optimal reserve allocation

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Stéphane Loisel, France
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Summary:
For general risk processes, the expected time-integrated negative part of the process on a fixed time interval is introduced and studied. 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 zero studied by Dos Reis [1], and the probability of ruin. Differentiation of other functionals of unidimensional and multidimensional risk processes with respect to the initial reserve level are carried out. Applications to ruin theory, and to the determination of the optimal allocation of the global initial reserve which minimizes one of these risk measures, illustrate the variety of application fields and the benefits deriving from an efficient and effective use of such tools.
 
Date: 30 May - Time: 8:30 to 10:00 - Room: 251
Theme: 1.A. Stochastic dependence