Centro de Documentacion de Fundación MAPFRE - Remarks on the mossin theorem

MAP20190014465

Remarks on the mossin theorem / Liang Hong

Sumario: We establish several new results regarding the Mossin Theorem under both nonrandom initial wealth and random initial wealth. For the nonrandom initial wealth case, we show that the Mossin Theorem holds for any constrained class of insurance contracts whose maximum coverage provides full coverage of the potential loss. This result not only settles an open conjecture, but also provides a unified treatment for extant varieties of the Mossin Theorem. For the random initial wealth case, we give a thorough study of the upper-limit insurance. In particular, we show that (1) for a fair premium, the Generalized Mossin Theorem for coinsurance does not hold for upper-limit insurance, and (2) for an unfair premium, partial insurance will always be optimal, regardless of the risk preference of the individual and the dependence structure between the random loss and the random initial wealth.

En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 01/03/2019 Tomo 23 Número 1 - 2019 , p. 1-10

1. Modelos actuariales . 2. Cálculo actuarial . 3. Coaseguro . 4. Matemática del seguro . I. Título.