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On a law of large numbers for insurance risks

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  • Yumiharu Nakano

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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  • Yumiharu Nakano, 2016. "On a law of large numbers for insurance risks," Papers 1601.03171, arXiv.org.
    • Handle: RePEc:arx:papers:1601.03171
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    References listed on IDEAS

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    1. Raviv, Artur, 1979. "The Design of an Optimal Insurance Policy," American Economic Review, American Economic Association, vol. 69(1), pages 84-96, March.
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