11.6 Tame Case: Variation in premium, loss ratioFigure 11.7 Cat/Non-Cat Case: Variation in premium...Figure 11.8 Hu/SCS Case: Variation in premium, loss...Figure 11.9 Tame Case: Variation in SRM properties as the asset...Figure 11.10 Cat/Non-Cat Case: Variation in SRM...Figure 11.11 Hu/SCS Case: Variation in SRM properties...Figure 11.12 Spread (ROL) vs. EL on US wind (hurricane...Figure 11.13 Number of issues, amount of issuance...Figure 11.14 LEP parameters i and t* by year implied by...Figure 11.15 A convex envelope distortion defined by...Figure 11.16 A bagged (bootstrap aggregated) convex...Figure 11.17 As Figure 11.16, on log scale.10 Chapter 12Figure 12.1 Development of insurance pricing financial model...Figure 12.2 The order of decision making in an...Figure 12.3 The order of decision making in an insurance market...Figure 12.4 Assumptions from various important...
11 Chapter 14Figure 14.1 Computation of absolute semideviation with...Figure 14.2 Contact functions for TVaR, illustrating the...Figure 14.3 Conditions and properties for allocations of coherent...Figure 14.4 Relationship between game theory, allocations...
12 Chapter 15Figure 15.2 Gross Tame Case Study, CCoC distortion.Figure 15.3 Net Tame Case Study, TVaR distortion.Figure 15.4 Gross Cat/Non-Cat Case Study, dual moment distortion.Figure 15.5 Net Cat/Non-Cat Case Study, proportional hazard distortionFigure 15.6 Gross Hu/SCS Case Study, blended distortion.Figure 15.7 Net Hu/SCS Case Study, Wang transform.Figure 15.8 Capital density by layer for the Tame Case.Figure 15.9 Capital density by layer for the Cat/Non-Cat Case.Figure 15.10 Capital density by layer for the Hu/SCS Case.Figure 15.11 Loss spectrums by Case (top row)....Figure 15.12 Tame Case Study percentile layer of capital...Figure 15.13 Cat/Non-Cat Case Study percentile layer of capital...Figure 15.14 Hu/SCS Case Study percentile layer of capital...
13 Chapter 18Figure 18.1 Sample path for surplus process...Figure 18.2 Left: sample path for surplus process with...
14 Chapter 19Figure 19.1 Technical premium for net...
List of Tables
1 Chapter 2Table 2.1 Investor and insured...Table 2.2 Simple Discrete Example...Table 2.3 Discrete Example estimated...Table 2.4 Loss distribution assumptions...Table 2.5 Tame Case Study...Table 2.6 Cat/Non-Cat Case Study...Table 2.7 Hu/SCS Case Study...
2 Chapter 3Table 3.1. Representing risks: event...Table 3.2. Simple Discrete Example...1Table 3.3 Solution to Exercise 30.Table 3.4. Computing the limited expected...
3 Chapter 4Table 4.1. Standard return periods...Table 4.2. VaRp(X) estimated as E[X0]...Table 4.3. Estimated occurrence and...Table 4.4. The sum of two independent...Table 4.5. Starting X is shown in the first...Table 4.6. Tame Case Study estimated...Table 4.7. Cat/Non-Cat Case StudyTable 4.8. Hu/SCS Case Study estimated...
4 Chapter 6Table 6.1. A compendium of risk measures
5 Chapter 7Table 7.1. Risk measures applied to...Table 7.2. Pricing summary by Case...Table 7.3. Details of reinsurance for...
6 Chapter 8Table 8.1. Total expenses by function...Table 8.2. Comparison of types of insurer capitalTable 8.4. Comparison of solvency frameworks...Table 8.5. Actuarial vs. Black-Scholes pricing
7 Chapter 9Table 9.1 Classical PCPs applied to...Table 9.2 Classical pricing by method...Table 9.3 Sum of parts (SoP)...Table 9.4 Implied loss ratios from...Table 9.5 Classical pricing by method...Table 9.6 Sum of parts (SoP) stand...Table 9.7 Implied loss ratios from...Table 9.8 Classical pricing by method...Table 9.9 Sum of parts (SoP) stand...Table 9.10 Implied loss ratios from...Table 9.11 Comparison of stand...Table 9.12 Constant CoC pricing by...Table 9.13 Constant CoC pricing by unit...Table 9.14 Constant CoC pricing...Table 9.15 Natural scale of the market...Table 9.16 Option values of insurance...
8 Chapter 10Table 10.1 Summary of pricing functions...Table 10.2 Insurance market statistics...Table 10.3 Solution to Exercise 142.
9 Chapter 11Table 11.1 Simple Discrete Example...Table 11.2 Simple Discrete Example...Table 11.3 Simple Discrete Example with nine...Table 11.4 Example risk measure calculations...Table 11.5 Parameters for the six SRMs...Table 11.6 Specification of a PWL...Table 11.7 Pricing by unit and distortion...Table 11.8 Pricing by unit and distortion...Table 11.9 Pricing by unit and distortion...Table 11.10 Control variables with expected...Table 11.11 Summary of regressions, with...
10 Chapter 12Table 12.1 Solution to Exercise 203.Table 12.2 Common allocation methods...Table 12.3 Solution to Exercise 207...Table 12.4 Solution to Exercise 210.
11 Chapter 13Table 13.1 Comparison of gross...Table 13.2 Constant 0.10 ROE pricing...Table 13.3 Constant 0.10 ROE pricing...Table 13.4 Constant 0.10 ROE pricing for...Table 13.5 Allocation of classical PCPs.
12 Chapter 14Table 14.1 Joint distribution for...Table 14.2 Four extreme contact functions...Table 14.3 Assumptions and results for...Table 14.4 All the different ways of computing...Table 14.5 Example showing the...
13 Chapter 15Table 15.1 Simulation output.Table 15.2 Sorted events.Table 15.3 Grouped events.Table 15.4 Grouped events with distorted...Table 15.5 Ungrouped events with...Table 15.6 Alternative order of ungrouped...Table 15.7 Solution to Exercise 261.Table 15.10 Simple example with assets...Table 15.11 Computation of kernel smoothed...Table 15.12 Simple example showing...Table 15.13 Simple example showing...Table 15.14 Simple example with...Table 15.15 Simple example with capital...Table 15.16 Joint outcomes and probabilities.Table 15.17 Joint outcomes with unique...Table 15.18 Calculation of premium and lifted...Table 15.19 Calculation of premium and...Table 15.20 Comparison of lifted and...Table 15.21 Various ways of computing expected...Table 15.21 Bodoff’s Thought ExperimentTable 15.22 Bodoff’s Thought Experiment 1,...Table 15.23 Bodoff’s Thought Experiment 1...Table 15.24 Bodoff’s Thought Experiment...Table 15.25 Bodoff’s Thought Experiment 1,...Table 15.26 Bodoff’s Thought Experiment 1,...Table 15.27 Bodoff’s Thought Experiment 1,...Table 15.28 Bodoff’s Thought Experiment 1,...Table 15.29 Bodoff’s Thought Experiment 1,...Table 15.30 Bodoff’s Thought Experiment 1,...Table 15.31 Bodoff’s Thought Experiment 1,...Table 15.32 Proportional hazard PLC...Table 15.33 Wang Transform PLC and...Table 15.34 The linear natural allocations...Table 15.35 Constant 0.10 ROE pricing for...Table 15.36 Constant 0.10 ROE pricing...Table 15.37 Constant 0.10 ROE pricing...Table 15.38 Tame Case Study percentile layer...Table 15.39 Cat/Non-Cat Case Study percentile...Table 15.40 Hu/SCS Case Study percentile...
14 Chapter 16Table 16.1 Probabilities and outcomes...Table 16.2 The fair market value of...
15 Chapter 17Table 17.1 Array of incremental claim...Table 17.2 Timeline of random...Table 17.3 Expected incremental and...Table 17.4 Expected evolution for the...Table 17.5 One sample
