2 papers
q-fin.RM2026
On the Expected Maximum Deficit and the Optimal Allocation of Reserves
Claude Lefevre, Pierre Zuyderhoff
Let be a cumulative net-loss process and let . For a candidate reserve and a distortion function , define $D_g^{(t)}(u)=\i…
math.PR2023
On geometric-type approximations with applications
Fraser Daly, Claude Lefèvre
We explore two aspects of geometric approximation via a coupling approach to Stein's method. Firstly, we refine precision and increase scope for applications by convoluting the app…