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Document Details :
Title: The Schmitter Problem
Author(s): BROCKETT, P. , GOOVAERTS, M. , TAYLOR, G.
Journal: ASTIN Bulletin
Volume: 21 Issue: 1 Date: April 1991
Consider the class ℑ of distributions with range [0, b], mean μ and variance σ2. Let Ψθ, F(u) denote the probability of ultimate ruin under a compound Poisson claim process with given premium loading θ, initial capital u and individual claim size d ∙ f ∙ F. For fixed θ and μ, which F ∈ ℑ maximizes Ψθ, F(u) for a particular given u? In particular, is F diatomlc?