经典AN APPLICATION OF GAME THEORY:PROPERTY CATASTROPHE RISK LOAD

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<P>Two well known methods for calculating risk load—<BR>Marginal Surplus and Marginal Variance—are applied<BR>to output from catastrophe modeling software. Risk loads<BR>for these marginal methods are calculated for sample<BR>new and renewal accounts. Differences between new and<BR>renewal pricing are examined. For new situations, both<BR>current methods allocate the full marginal impact of the<BR>addition of a new account to that new account. For renewal<BR>situations, a new concept is introduced which we<BR>call “renewal additivity.”<BR>Neither marginal method is renewal additive. A new<BR>method is introduced, inspired by game theory, which<BR>splits the mutual covariance between any two accounts<BR>evenly between those accounts. The new method is extended<BR>and generalized to a proportional sharing of mutual<BR>covariance between any two accounts. Both new<BR>approaches are tested in new and renewal situations.</P>
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2007-5-25 03:56:00 上传

经典AN APPLICATION OF GAME THEORY:PROPERTY CATASTROPHE RISK LOAD
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关键词：Catastrophe Game Theory Application property Theory software accounts between methods impact

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