Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2008/iii/paper-43/1/a/solution

If , then . Applying the count recurrence successively gives for every . Normalization forces
Thus the claim count distribution is a point mass at zero, and the aggregate claims model also has almost surely. In particular the recursion starts at and gives no positive-loss probabilities.

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