An asymptotic estimate of optimum insurance premiums under the conditions of an individual claim factorization model (Q1281233)

The author considers a distribution of a random variable of the total surplus of an insurance company on a set of insurance agreements by the expiry date of all these agreements. In addition the number of the arguments \(N\) is a determinate value and the number of claims has a binomial distribution. Insurance premiums are considered as random variables, the value of the premium is assumed to be proportional to the chance value of risk scale for each agreement, the coefficient of proportionality is called a premium rate. the so-called ``factorization model'' of an individual claim is proposed in the framework of which nonzero claim is presented as a product of independent random values of an insurance sum and a relative loss. The estimations for big \(N\) for the distribution of surplus value and for the value of minimal premium rate ensuring nonnegative surplus with given probability, with the indication error estimation are received on the basis of this model with the use of asymptotic results of the theory of probability.