On a law of large numbers for insurance risks

2016/01/13 by Yumiharu Nakano, Nakano, Yumiharu
Economics, Econometrics and Finance · #FOS: Economics and business #Risk Management (q-fin.RM) #q-fin.RM

paper · pdf · doi:10.48550/arxiv.1601.03171

5 pages

arxiv created 2016/01/13 · arxiv updated 2016/01/14

Abstract

This note presents a kind of the strong law of large numbers for an insurance risk caused by a single catastrophic event rather than by an accumulation of independent and identically distributed risks. We derive this result by a large diversification effect resulting from optimal allocation of the risk to many reinsurers or investors.

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