Title 



On the small risk approximation


Author 





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.  

Language 



English


Source (journal) 



Insurance: mathematics and economics.  Amsterdam 

Publication 



Amsterdam : 1986


ISSN 



01676687


Volume/pages 



5:2(1986), p. 151157


ISI 



A1986C458800006


Full text (Publisher's DOI) 


 

Full text (publisher's version  intranet only) 


 
