D.06.Mango

Poisson Process for Losses
Marginal Surplus Method for Risk Load
Marginal Variance Method for Risk Load
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
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 user-selected weights
- as Shapely Value, also renewal additive

Author

Exam9_2012

139532

Card Set

D.06.Mango

Description

Application of Game Theory: P&C Risk Loads

Updated

2012-05-09T21:14:09Z

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