On a law of large numbers for insurance risks
Risk Management
2016-01-14 v1
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.
Keywords
Cite
@article{arxiv.1601.03171,
title = {On a law of large numbers for insurance risks},
author = {Yumiharu Nakano},
journal= {arXiv preprint arXiv:1601.03171},
year = {2016}
}
Comments
5 pages