Home > Preview
The flashcards below were created by user
Exam9_2012
on FreezingBlue Flashcards.

Poisson Process for Losses

Marginal Surplus Method for Risk Load

Marginal Variance Method for Risk Load

Renewal additivity
 MS Method: chg in S(X)  buildup > renewal
 MV Method: chg in V(X)  buildup < renewal
 a risk load method is renewal additive if the sum of renewal risk loads of each risk = risk load for aggregate pf

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

Covariance Share
 divides the mutual cov according to userselected weights
 as Shapely Value, also renewal additive

