The Schmitter problem.
โ Scribed by P. Brockett; M. Goovaerts; G. Taylor
- Publisher
- Elsevier Science
- Year
- 1993
- Tongue
- English
- Weight
- 100 KB
- Volume
- 13
- Category
- Article
- ISSN
- 0167-6687
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
The numerical solution of the Schmitter problems is based on a renewal equation in a discretization of the classical risk model, on a general optimization algorithm of functions on convex spaces, and on the introduction of directional derivatives in the risk model.
Numerical illustrations are given of the technique to solve Schmitter's problem proposed in De Vylder and Marceau (1996).
The problem posed by Schmitter was to maximize the ruin probability when mean and variance of the claim size distribution are given. In this note we prove that the minimal ruin probability is given by the bi-atomic distribution with the maximal possible claim size as one of its mass points. A by-pro