D.06.Mango

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Author:
Exam9_2012
ID:
139532
Filename:
D.06.Mango
Updated:
2012-05-09 17:14:09
Tags:
risk load
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Description:
Application of Game Theory: P&C Risk Loads
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  1. Poisson Process for Losses
  2. Marginal Surplus Method for Risk Load

  3. Marginal Variance Method for Risk Load
  4. Renewal additivity
    • MS Method: chg in S(X) - build-up > renewal
    • MV Method: chg in V(X) - build-up < renewal
    • a risk load method is renewal additive if the sum of renewal risk loads of each risk = risk load for aggregate pf
  5. Shapely Value
    • avg marginal var from all diff combinations in which a new account can be added to a pf
    • Shapely Value: V(n) + Sum­[Cov(L,n)]
    • allocates mutual cov equally btwn accounts
  6. Covariance Share
    • divides the mutual cov according to user-selected weights
    • as Shapely Value, also renewal additive

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