Some thoughts on (re) insurance loadings under a ruin criterion |
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| Authors: | B Berliner |
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| Institution: | Swiss Reinsurance Company , 60, Mytbenquai, CH-8022 Zürich , Switzerland |
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| Abstract: | Abstract Suppose a (re)insurer has free reserves of amount U at his disposal and a portfolio characterised by the distribution function Fx (z; µ σ2). X is a stochastic variable describing the accumulated loss during a certain time interval; µ, and σ2) = V are the expected value and the variance of X respectively. |
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