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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 Pages: 129-132 DOI: 10.2143/AST.21.1.2005405 Abstract : 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? |