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5]
Basic Probability Pr[ > ] Pr[ + 0.5]
Policy Limits
Probability Functions
() = () = Pr( ) Bayes Theorem
() = 1 () = Pr( ) = ()
() ()
() = =
() ()
() = = Law of Total Probability
()
() = () = () Deductibles
Payment per Loss
Moments
3 3 32 +2 3
Variance of the Sample Mean
Skewness: 1 = =
3 3
4 4 43 +62 2 34
Kurtosis: 2 = =
4 4
Mean Excess Loss
2]
1 2
[ = () = [( )+ | > ]
Bernoulli Shortcut Special Cases
Percentiles
Mode
Aggregate Loss Franchise Deductible
=+
1
Finding a, b
For Poisson: [] = [ 2 ] Franchise: Y L , Y P [ ] = [ ] + ()
Set = + = 1, { L P {
1
Frailty Model Ordinary: X , X [ ] = [ ] +
Mode = greatest integer that < k Bonus
(|) = () ,
Moment Generating Function ( )+ = {
(|) = () 0, >
,
( ) = {
(|) = ( |) = () = 0, >
Probability Generating Function [] = [( )+ ] = [ ( )]
S() = [(|)] = [ () ] = [()]
= [ ]
Calculate Variance: Use 2nd and 1st moments: Loss Elimination Ratio
2] 2
[] = [ []
[()]
Empirical Distribution for Complete Data [()] =
()2
1
=
Log-transformed CI of S(t)
= [()1/ ; () ]
= [() ; ()1/ ]
Aggregate Loss Models Variance of Empirical Estimators with = [ . ; .1/ ]
Complete Data ()
()
()
Risk Measures ()
LinearConfident Interval
Nelson-Aalen Estimator
1
TVaR p : Coherent (4 properties)
() = ,
1 <
VaR p : Not Subadditive
=1
E[X]: Not Translation
For Incomplete group, individual Uniform Kernel
Var[X]: only Translation
[X]: Not Monotonic = #{ } + #{ } #{ }
TVaR p TVaR p for Pareto Variance of Kaplan-Meier and Nelson-Aalen
Known ; VaR p VaR p = Estimators
1
TVaR p TVaR p = + =
1 1 Triangular Kernel
Tail Weight Measures
Moments of Kernel-smoothed Distributions Right truncated: there is no info on data more =
2
(): []
than u
2
= ()
= [[|]]
= () Applications
= [[|]] + = () =
(1 ) + = ( . )
= , = =
+ +
SIMULATION
= + (1 ) = + ( )
Inverse Method
Note: is the denominator of the term used to
= 1 ( )
calculate
Empirical Bayes Non-Parametric Methods Special Techiniques
Multiple Decrements Bootstrap Approximation
r(i): of groups
1
n(j): of years
~Binomial ( = , = )
mij : of PH each years/group 1 1
=1
=1
1. Cal xij
Simulating (a, b, 0) Class Distributions
2. Cal xi
(Stochastic Simulation)
3. Cal
DISTRIBUTION
mij (xij xi )
4. Cal v =
(years 1)each groups (, )
mi (xi )2 v(group 1)
5. Cal a = () =
m m1 m2i ( + )+1
mi
6. Cal Zi =
mi + k () = 1 ( )
+
Uniform Exposures
Simulating Poisson Variable, the rate at which
[] =
the next event occurs is The mean amount 1
of time until the next event occurs is 1/. 2 2
[ 2 ] =
The time until the next variable is exponential ( 1)( 2)
with mean 1/.
!
[ ] =
Normal Random Variables: The Polar ( 1) ( )
Method 2
[] =
( 1)2 ( 2)
Non-Uniform Exposures
[( )+ ] =
( 1)( + )1
+
[( )+ ] = () =
( 1)
1
Number of Data Values to Generate ( ) = [1 ( ) ] ( 1)
1 +
Empirical Bayes Semi-Parametric Methods ( ) = ( ) ( = 1)
+
Estimating
1
= 1 ( )
+
= [(1 )1/ 1]
(1 )1/
= + () = ( = , ) =
1
Mode = 0 / () = ()
() =
2 2 /2
[, ]: [ ] = +
() = 1 /
= + (, )~( + , )
=1 ( + ) +
=1 ( + ) [] = () =
() = +
[ 2 ] = 2 2
~ (, ) ( )
( )| > ~( + , ) [ ] = ! () = [].
1
[] = 2 Y~Normal (, )
~ (, ) { X~Lognormal(, )
() = ln(1 ) X = eY
1
= ln (1 + ) ~ ( = ) +
() = ln(1 ) + 1
( ) = ( ) = []
() = + ( ) = (1 / )
=1 ( + ) +
=1 ( + )
=1
= 1 /
(, ) 1
+
Mode=0 () = ( ) 2 = []
() = ( > ) + =1
+1 1
() = ( )
(, )
=1
() = 1 ( ) ( > )
() () = +
( )
[] = / () = +
1 () = 1
2 2
1 2 /2
[ 2 ] = () = / ( ) =
( 2) 2
[] = () =
[ ] = (, )
( ) [ ] = (1 ) ( < 1)
1
2 () = (ln )1 () =
[] =
( 1)2 ( 2) Mode = /2
() =
[( )+ ] = () 1
() =
( ) =1 1/ +
[] =
= { 1 (, ) 2
( ) +
( ) ( )2
1 (/) / 1 / [] =
() = = 12
() ()
[( ) ] = ( ) 3
3
( ) ( ) () = (, /) [ 2 ] =
3( )
1 [] =
= 1 1 ( > 1, ) () = ( ) =
] (
[ = + 1)
[, ]:
[] = 2 :
= + Mode = ( 1) : .
=1 ( ) +
=1 [(, )]
~ (, ) (, ) 2
() =
(/) / ( + 2)( + 1)2
( )~(, )
() =
() (, , ) ( = = )
() =
+
=1 ( ) +
=1 [(, )] () = 1 (, /) ( + )
() = ( ) [1 /]1
[] = /( 1) ()()
(, )
(, )
1 [] =
() = 2 /2 +
( + )+1
() = 2
2 [] =
() = ( ) ( + )2 ( + + 1)
+
If a=1:
[] = [(1 )1/ 1]1/ () ~ . =
() = ( < )
1+
(, , )
() = =
=1 ( ) (/) (1 + )+1
() = 1
[1 + (/) ]+1
( ) = 0 =
1+
=1 ( ) (/)
() =
(, ) (1 + (/) )
= ; =0
1+
(/) [] = [1/ 1]1/
(/)
() = [] =
(, , )
[] = (1 + )
() = 1 (/) +
[] = [] = [1 ( 1)]1
[ ] = (1 + /) 1
(, )
[] = [(1 )]1/ [] =
(1 )2 ( + 1) ( + 1)
+ + 1/
1 =
() = [ ( )] () ! (1 + )+
1
=1 =1 0 =
= (1 + )
(, ) !
( 1)
(/) (/)
0 = = ; =
() = 1+ 1+
[] = [] =
(/)
[] =
() = 1 [] = (z1)
[] = (1 + )
[ ] = (1 /) (, )
[] = [1 ( 1)]
[] = [()]1/ = (1
)
(, , )
0 = (1 )
(/) ( + 1)
() = = ; =
[1 + (/) ]+1 1 1
() = 1 [1 + (/) ] [] =
[ ] = (1 /) [] = (1 )