Title
On the small risk approximation
Author
Faculty/Department
Faculty of Applied Economics
Publication type
article
Publication
Amsterdam ,
Subject
Economics
Mathematics
Source (journal)
Insurance: mathematics and economics. - Amsterdam
Volume/pages
5(1986) :2 , p. 151-157
ISSN
0167-6687
Carrier
E
Target language
English (eng)
Full text (Publishers DOI)
Affiliation
University of Antwerp
Abstract
A small risk is a random variable whose deviation from its mean is small in some sense, so that we may replace, for example, X by μ+z(X − μ) and expand related functions and random variables in terms of powers of z. Several models are revisited (the problem of Pareto optimal risk exchanges, equilibrium, the reinsurer's monopoly and the Bowley solution) and approximate solutions are found. The last model (chains of reinsurance) is new.
E-info
https://repository.uantwerpen.be/docman/iruaauth/b6962a/fb4d1e357de.pdf
Handle