On a law of large numbers for insurance risks

Yumiharu Nakano

Papers from arXiv.org

Abstract: This note presents a kind of the strong law of large numbers for an insurance risk caused by a single catastrophic event rather than by an accumulation of independent and identically distributed risks. We derive this result by a large diversification effect resulting from optimal allocation of the risk to many reinsurers or investors.

Date: 2016-01
New Economics Papers: this item is included in nep-ias and nep-rmg
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