Abstract
At the 1990 ASTIN-colloquium, SCHMITTER posed the problem of finding the extreme values of the ultimate ruin probability in a risk process with initial capital u, fixed safety margin 0, and mean u and variance of the individual claims. This note aims to give some more insight into this problem. Schmitter's conjecture that the maximizing individual claims distribution is always diatomic is disproved by a counterexample.
Volume
21:1
Page
133-146
Year
1991
Categories
Business Areas
Reinsurance
Aggregate Excess/Stop Loss
Financial and Statistical Methods
Statistical Models and Methods
Generalized Linear Modeling
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Probability of Ruin
Financial and Statistical Methods
Loss Distributions
Publications
ASTIN Bulletin
