We describe a new model of multiple reinsurance. The main idea is that the reinsurance premium is paid conditionally. It is motivated by some analysis of the ultimate price of the reinsurance contract. For simplicity we assume that the underlying risk pricing functional is the L₂-norm. An unexpected relation to the general theory of sample regularity of stochastic processes is given.
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For a sequence $(A_j)$ of mutually orthogonal projections in a Banach space, we discuss all possible limits of the sums $S_n = ∑^n_{j=1} A_j$ in a "strong" sense. Those limits turn out to be some special idempotent operators (unbounded, in general). In the case of X = L₂(Ω,μ), an arbitrary unbounded closed and densely defined operator A in X may be the μ-almost sure limit of $S_n$ (i.e. $S_{n}f → Af$ μ-a.e. for all f ∈ 𝓓(A)).
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A stronger version of almost uniform convergence in von Neumann algebras is introduced. This "bundle convergence" is additive and the limit is unique. Some extensions of classical limit theorems are obtained.
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The Stinespring theorem is reformulated in terms of conditional expectations in a von Neumann algebra. A generalisation for map-valued measures is obtained.
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The paper is devoted to some problems concerning a convergence of pointwise type in the $L_2$-space over a von Neumann algebra M with a faithful normal state Φ [3]. Here $L_2 = L_2(M,Φ)$ is the completion of M under the norm $x → |x|^2 = Φ(x*x)^{1/2}$.
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