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.
The solution of Schmitter's simple problem: Numerical illustration
โ Scribed by F. De Vylder; M. Goovaerts; E. Marceau
- Publisher
- Elsevier Science
- Year
- 1997
- Tongue
- English
- Weight
- 826 KB
- Volume
- 20
- Category
- Article
- ISSN
- 0167-6687
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โฆ Synopsis
Numerical illustrations are given of the technique to solve Schmitter's problem proposed in De Vylder and Marceau (1996).
๐ SIMILAR VOLUMES
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
on the shape of the super-cavity /1, 11, 12/; it is illustrated in Fig. 3 by comparing two cavities behind different bodies (A-l and 2) with the same a ; the broken curves show the part of the object inside the cavity. Naturally, with such a small difference of a~/ol from a constant, the values of B