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  • Search: subject:"Sample path properties"
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Subject
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Multidimensional risk process 1 Optimal allocation 1 Risk measures 1 Ruin theory 1 Sample path properties 1
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Free 1
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Book / Working Paper 1
Language
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English 1
Author
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Loisel, Stéphane 1
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HAL 1
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Post-Print / HAL 1
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RePEc 1
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Differentiation of some functionals of risk processes.
Loisel, Stéphane - HAL - 2005
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...
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