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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
ID
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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