On the Expected Maximum Deficit and the Optimal Allocation of Reserves

Claude Lefevre, Pierre Zuyderhoff

Let $L=(L_s{)}_{0\le s\le t}$ be a cumulative net-loss process and let $M_t={\sup }_{0\le s\le t}{L}_s$. For a candidate reserve $u$ and a distortion function $g$, define $D_g^{(t)}(u)=\i…