Pricing Insurance Risk Book Errata

Errata list of PIR. Report issues to mynl@me.com.

Main PIR page

Reporting Errors

If you discover a mistake in PIR please email me at mynl@me.com.

Case Study Related Errata

• Hu/SCS: reinsurance is applied on an aggregate basis, not occurrence as stated. It is calibrated using the occurrence loss distribution. CCoC/constant ROE natural allocations are incorrect.

Other Errata

• p. 24-5: line -1 and 1, Cat Hu is extremely skewed… though Cat Hu is thicker
• p. 64 line 2: “Is corresponds” s/b “It corresponds”. (JAM)
• p. 64 Figure 4.1 is created with \(\sigma=0.5\) not \(\sigma=1\) as written. (SJM)
• p. 88 algorithm step 6, s/b upper case \(X_n\), not lower. (JAM)
• p. 93 line -3 should read: “…observe first that \(\Pr(X ≥ x_0) = 1-p\) is larger than it should be…” rather than \(\Pr(X ≥ x_0) = p\) is larger. (SJM)
• p. 98 Exercise 72 part 2 should read \(\mathsf{CTE}_p <= \mathsf{CTE}^+_p <= \mathsf{TVaR}_p\). (AM)
• p. 101 Display equation line 3, drop \(q(p)\); it is included in the integral. (JAM)
• p. 244, Exercise 141 solution part 2, \(h(0.05) = 1-g(1-0.95) = 0.0203\) should say \(h(0.05) = 1-g(1-0.05) = 0.0203\).
• p. 273 para above (11.2) s/b outcome-probability not event-outcome; after equation more natural than, not then. (SJ/JM)
• p. 277 Ex 185 item 5, s/b “What conditions on \(p_0\), \(p_1\), …”. (JAM)
• p. 372 Penultimate displayed is an expression for \(d\bar S_i/da\) not \(d \bar S/da\), i.e., add subscript \(i\).
• p. 378 Eq (14.34) first line should read \(\bar M = \bar P_i - \bar S_i\), not \(\bar L_i\). (JAM)
• p. 380 line 2 should read \(\beta_i(x) / \alpha_i(x) > 1 > S(x) / g(S(x))\), not \(g(S(x)) / S(x)\) which is always \(\le 1\). (AB)
• p. 411 para 1, last sentence should read “Practical applications should…”