scholarly journals On a class of measures of dispersion with application to optimal reinsurance

1969 ◽  
Vol 5 (2) ◽  
pp. 249-266 ◽  
Author(s):  
Jan Ohlin
Keyword(s):  
Random Variable ◽  
Optimal Choice ◽  
Expected Value ◽  
The Other ◽  
Total Risk ◽  
Central Value ◽  
Measures Of Dispersion ◽  
Image Position ◽  
Reinsurance Treaty ◽  
Random Fluctuations

In this paper we will investigate the following reinsurance problem: An insurer, whose total claims for a certain period may be regarded as a random variable x with expected value Ex = m, wishes to cede part of his business to a reinsurer. A reinsurance treaty will consist of rule for the division of x between the two parties. For any observed value of x it should define uniquely what amount should be borne by the ceding insurer. The amount borne by the reinsurer is then simply the remaining part of x.We shall assume that the insurer has already decided how much of his business he wishes to cede, in the sense that he wants to retain a part of the total risk with expected value m — c, where c is a fixed constant, o < c < m.Using the terminology introduced by Kahn in (2) we will describe a reinsurance contract by a transformation (or function) T that for a given x yields the amount Tx borne by the cedent. The random variable x is thus divided into two partsand the properties of the reinsurance contract described by T are summarized in the distributions of the two random variables Tx and (1 — T)x = — Tx.The motivation for reinsurance is generally held to be a desire for stability, in other words the cedent wishes to choose a T such that the random fluctuations in Tx are in some sense smaller than those of x. This choice will in our case be performed under the restriction that ETx = m — c.It is clear that we can never talk about an optimal choice of T without defining exactly what criterion we shall use when comparing two transformations, T1 and T2. According to the above, the criterion should refer to the properties of the distributions of T1x and T2x, so that if one distribution is “more concentrated” around some central value, the corresponding transformation is deemed preferable to the other. However, we still have to define what we mean by “more concentrated”.

scholarly journals The Esscher Premium Principle: A Criticism

1981 ◽  
Vol 12 (1) ◽  
pp. 77-78 ◽  
Author(s):  
Benjamin Zehnwirth
Keyword(s):  
Loss Function ◽  
Utility Theory ◽  
Random Quantity ◽  
Present Note ◽  
Random Variable ◽  
Point Of View ◽  
The Other ◽  
Important Distinction ◽  
Image Position ◽  
Insight Into

The Esscher premium principle has recently had some exposure, namely, with the works of Bühlmann (1980) and Gerber (1980).Bühlmann (1980) devised the principle and coined the name for it within the framework of utility theory and risk exchange. Geruber (1980), on the other hand, gives further insight into the principle by studying it within the realm of forecasting in much the same spirit as credibility theorists forecast premiums. However, there is an important distinction: the choice of loss function.The present note sets out to criticize this relatively embryonic principle using decision theoretic arguments and indicates that the Esscher premium is essentially a small perturbation of the well established linearized credibility premium Bühlmann (1970).Let H denote the Esscher premium principle with loading h > o. That is, if X is an observable random variable and Y is a parameter (a risk or a random quantity) to be forecasted then the Esscher premium is given byThat is, H(Y ∣ X) is the Bayes decision rule for estimating Y given the data X relative to the loss functionwhere a is the estimate of Y, and of course the loading h is greater than zero.Now, for the clincher. This loss function is nonsensical from the point of view of estimation. It indicates a loss (or error) to the forecaster that is essentially the antithesis of relative loss.

scholarly journals The optimal reinsurance treaty

1969 ◽  
Vol 5 (2) ◽  
pp. 293-297 ◽  
Author(s):  
Karl Borch
Keyword(s):  
General Class ◽  
The Other ◽  
Original Result ◽  
Optimal Reinsurance ◽  
Realistic Theory ◽  
A Value ◽  
Measures Of Dispersion ◽  
Definition Of ◽  
Reinsurance Treaty ◽  
Stop Loss

1. Some years ago I discussed optimal reinsurance treaties, without trying to give a precise definition of this term [1]. I suggested that a reinsurance contract could be called “most efficient” if it, for a given net premium, maximized the reduction of the variance in the claim distribution of the ceding company. I proved under fairly restricted conditions that the Stop Loss contract was most efficient in this respect.I do not consider this a particularly interesting result. I pointed out at the time that there are two parties to a reinsurance contract, and that an arrangement which is very attractive to one party, may be quite unacceptable to the other.2. In spite of my own reservations, it seems that this result —which I did not think deserved to be called a theorem—has caused some interest. Kahn [4] has proved that the result is valid under far more general conditions, and recently Ohlin [5] has proved that the result holds for a much more general class of measures of dispersion.In view of these generalizations it might be useful to state once more, why I think the original result has relatively little interest. In doing so, it is by no means my purpose to reduce the value of the mathematical generalizations of Kahn and Ohlin. Such work has a value in itself, whether the results are immediately useful or not. I merely want to point out that there are other lines of research, which appear more promising, if our purpose is to develop a realistic theory of insurance.

scholarly journals The Dissociation of the Compound of Iodine and Thio-urea

1904 ◽  
Vol 24 ◽  
pp. 233-239 ◽  
Author(s):  
Hugh Marshall
Keyword(s):  
Nitric Acid ◽  
General Formula ◽  
Free Acid ◽  
The Other ◽  
Image Position

When thio-urea is treated with suitable oxidising agents in presence of acids, salts are formed corresponding to the general formula (CSN2H4)2X2:—Of these salts the di-nitrate is very sparingly soluble, and is precipitated on the addition of nitric acid or a nitrate to solutions of the other salts. The salts, as a class, are not very stable, and their solutions decompose, especially on warming, with formation of sulphur, thio-urea, cyanamide, and free acid. A corresponding decomposition results immediately on the addition of alkali, and this constitutes a very characteristic reaction for these salts.

Extremely undecidable sentences

1982 ◽  
Vol 47 (1) ◽  
pp. 191-196 ◽  
Author(s):  
George Boolos
Keyword(s):  
Modal Logic ◽  
The Other ◽  
Propositional Modal Logic ◽  
Image Position

Let ‘ϕ’, ‘χ’, and ‘ψ’ be variables ranging over functions from the sentence letters P0, P1, … Pn, … of (propositional) modal logic to sentences of P(eano) Arithmetic), and for each sentence A of modal logic, inductively define Aϕ by[and similarly for other nonmodal propositional connectives]; andwhere Bew(x) is the standard provability predicate for PA and ⌈F⌉ is the PA numeral for the Gödel number of the formula F of PA. Then for any ϕ, (−□⊥)ϕ = −Bew(⌈⊥⌉), which is the consistency assertion for PA; a sentence S is undecidable in PA iff both and , where ϕ(p0) = S. If ψ(p0) is the undecidable sentence constructed by Gödel, then ⊬PA (−□⊥→ −□p0 & − □ − p0)ψ and ⊢PA(P0 ↔ −□⊥)ψ. However, if ψ(p0) is the undecidable sentence constructed by Rosser, then the situation is the other way around: ⊬PA(P0 ↔ −□⊥)ψ and ⊢PA (−□⊥→ −□−p0 & −□−p0)ψ. We call a sentence S of PA extremely undecidable if for all modal sentences A containing no sentence letter other than p0, if for some ψ, ⊬PAAψ, then ⊬PAAϕ, where ϕ(p0) = S. (So, roughly speaking, a sentence is extremely undecidable if it can be proved to have only those modal-logically characterizable properties that every sentence can be proved to have.) Thus extremely undecidable sentences are undecidable, but neither the Godel nor the Rosser sentence is extremely undecidable. It will follow at once from the main theorem of this paper that there are infinitely many inequivalent extremely undecidable sentences.

On functional Nörlund methods

1970 ◽  
Vol 67 (1) ◽  
pp. 47-60 ◽  
Author(s):  
B. Choudhary
Keyword(s):  
The Other ◽  
Integral Transformations ◽  
Other Hand ◽  
Nörlund Means ◽  
The One ◽  
Image Position

Integral transformations analogous to the Nörlund means have been introduced and investigated by Kuttner, Knopp and Vanderburg(6), (5), (4). It is known that with any regular Nörlund mean (N, p) there is associated a functionregular for |z| < 1, and if we have two Nörlund means (N, p) and (N, r), where (N, pr is regular, while the function is regular for |z| ≤ 1 and different) from zero at z = 1, then q(z) = r(z)p(z) belongs to a regular Nörlund mean (N, q). Concerning Nörlund means Peyerimhoff(7) and Miesner (3) have recently obtained the relation between the convergence fields of the Nörlund means (N, p) and (N, r) on the one hand and the convergence field of the Nörlund mean (N, q) on the other hand.

scholarly journals A Remark on the Principle of Zero Utility

1982 ◽  
Vol 13 (2) ◽  
pp. 133-134 ◽  
Author(s):  
Hans U. Gerber
Keyword(s):  
Risk Aversion ◽  
Utility Function ◽  
Affine Transformation ◽  
Random Variable ◽  
Affine Transformations ◽  
Premium Calculation ◽  
Image Position

Let u(x) be a utility function, i.e., a function with u′(x)>0, u″(x)<0 for all x. If S is a risk to be insured (a random variable), the premium P = P(x) is obtained as the solution of the equationwhich is the condition that the premium is fair in terms of utility. It is clear that an affine transformation of u generates the same principle of premium calculation. To avoid this ambiguity, one can standardize the utility function in the sense thatfor an arbitrarily chosen point y. Alternatively, one can consider the risk aversionwhich is the same for all affine transformations of a utility function.Given the risk aversion r(x), the standardized utility function can be retrieved from the formulaIt is easily verified that this expression satisfies (2) and (3).The following lemma states that the greater the risk aversion the greater the premium, a result that does not surprise.

scholarly journals Distribution of rational points on the real line

1973 ◽  
Vol 15 (2) ◽  
pp. 243-256 ◽  
Author(s):  
T. K. Sheng
Keyword(s):  
Algebraic Number ◽  
Rational Number ◽  
Real Line ◽  
Rational Points ◽  
The Other ◽  
Liouville Numbers ◽  
The Real ◽  
Other Hand ◽  
Image Position

It is well known that no rational number is approximable to order higher than 1. Roth [3] showed that an algebraic number is not approximable to order greater than 2. On the other hand it is easy to construct numbers, the Liouville numbers, which are approximable to any order (see [2], p. 162). We are led to the question, “Let Nn(α, β) denote the number of distinct rational points with denominators ≦ n contained in an interval (α, β). What is the behaviour of Nn(α, + 1/n) as α varies on the real line?” We shall prove that and that there are “compressions” and “rarefactions” of rational points on the real line.

3. Laboratory Notes by Professor Tait (a.) Measurement of the Potential, required to produce Sparks of various lengths, in Air at different pressures, by a Holtz Machine

1878 ◽  
Vol 9 ◽  
pp. 332-333
Author(s):  
Messrs Macfarlane ◽  
Paton
Keyword(s):  
General Result ◽  
The Other ◽  
Considerable Distance ◽  
Image Position

The general result of these strictly preliminary experiments appears to show that for sparks not exceeding a decimetre in length (L), taken in air at different pressures (P), between two metal balls of 7mm·5 radius, the requisite potential (V), is expressed by the formulaThe Holtz machine employed is a double one, made by Ruhmkorff, and it was used with its small Leyden jars attached. The measurements had to be made with a divided-ring electrometer, so that two insulated balls, at a considerable distance from one another, were connected, one with the machine, the other with the electrometer.

scholarly journals Certain Mathematical Instruments for Graphically Indicating the Direction of Refracted and Reflected Light Rays

1906 ◽  
Vol 25 (2) ◽  
pp. 806-812
Author(s):  
J.R. Milne
Keyword(s):  
Optical System ◽  
The Other ◽  
Reflected Light ◽  
Light Rays ◽  
Image Position

The refraction equation sin i == μ sin r, though simple in itself, is apt to give rise, in problems connected with refraction, to formulæ too involved for arithmetical computation. In such cases it may be necessary to trace the course through the optical system in question of a certain number of arbitrarily chosen rays, and thence to find the course of the other rays by interpolation. Thelinkage about to be described affords a rapid and accurate means of determining the paths of the rays through any optical system.

Note on a Theorem regarding a Series of Convergents to the Roots of a Number

1893 ◽  
Vol 19 ◽  
pp. 15-19
Author(s):  
Thomas Muir
Keyword(s):  
The Other ◽  
Image Position

If the positive integral powers of be taken, and the expansion of each be separated into two parts, rational and irrational, thus—then the ratio of the rational portion to the coefficient of in the other portion is approximately equal to , the convergence being perfect when the power of the binomial is infinite. This is the simplest case of a theorem discovered by the late Dr Sang, and enunciated by him as the result of a process of induction in his paper “On the Extension of Brouncker's Method to the Comparison of several Magnitudes” (Proc. Roy. Soc. Edin., vol. xviii. p. 341, 1890–91).

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