Corrigendum and addendum to 'From risk sharing to pure premium for a large number of heterogeneous losses' [Insurance: Mathematics and Economics 96 (2021) 116–126]
| Autor: | Christian Y. Robert, Michel Denuit |
|---|---|
| Přispěvatelé: | UCL - SSH/LIDAM/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles |
| Rok vydání: | 2021 |
| Předmět: |
Statistics and Probability
Conditional expectation Economics and Econometrics Addendum Risk pooling Insurance Pools Variance (accounting) Poisson distribution Law of large number symbols.namesake Law of large numbers Econometrics Key (cryptography) symbols Actuary Statistics Probability and Uncertainty Mathematics |
| Zdroj: | Insurance: Mathematics and Economics, Vol. 101, part B, p. 640-644 (2021) |
| ISSN: | 0167-6687 |
| DOI: | 10.1016/j.insmatheco.2021.09.002 |
| Popis: | This paper supplements the previous contribution by Denuit and Robert (2021) . First, the compound Poisson case is revisited and the strong law of large number is rigorously established for the conditional expectations defining the conditional mean risk allocation. Then, a weak law of large numbers is proposed, providing the actuary with a criterion ensuring that the variance of individual contributions tends to 0. This is appealing for applications since this behavior is a key success factor for collaborative insurance pools. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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