Pricing Insurance Risk Book Errata
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Errata list of PIR. Report issues to mynl@me.com.
Reporting Errors
If you discover a mistake in PIR please email me at mynl@me.com.
Other Errata
- p. 20: Table 2.4
for SCS should be not , making the mean severity 1 - p. 24-5: line -1 and 1,
CatHu is extremely skewed… thoughCatHu is thicker - p. 64 line 2: “Is corresponds” s/b “It corresponds”. (JAM)
- p. 64 Figure 4.1 is created with
not as written. (SJM) - p. 76: Example 54 says
but in fact in order for severity to have a mean of USD 5B. - p. 85: The paper by Daníelsson and Jorgensen [1] does report that VaR is subadditive for log-concave distributions but this is not true, as the example of the sum of two exponential distributions at
shows (VaR of the exponential is 1.20, and the gamma sum is ). - p. 88 algorithm step 6, s/b upper case
, not lower. (JAM) - p. 93 line -3 should read: “…observe first that
is larger than it should be…” rather than is larger. (SJM) - p. 98 Exercise 72 part 2 should read
. (AM) - p. 101 Display equation line 3, drop
; it is included in the integral. (JAM) - p. 123: in bottom displayed equation
not the max as stated. - p. 244, Exercise 141 solution part 2,
should say . - 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
, , …”. (JAM) - p. 372 Penultimate displayed is an expression for
not , i.e., add subscript . - p. 378 Eq (14.34) first line should read
, not . (JAM) - p. 380 line 2 should read
, not which is always . (AB) - p. 411 para 1, last sentence should read “Practical applications should…”
- p. 413-15: there are two tables numbered 15.21. The one referenced in Exercise 273 is on p. 415, not 414.
- p. 419: Note that the covariance premium is computed by calibrating and allocating the load using unlimited losses. The expected loss component is based on limited losses.
References
References
1.
Dan??elsson, J., Jorgensen, B.N.B., Samorodnitsky, G., Sarma, M., De Vries, C.G., Daníelsson, J., Jorgensen, B.N.B.: Fat tails, VaR and subadditivity. Journal of Financial Econometrics. 172, 1–30 (2013). https://doi.org/10.1016/j.jeconom.2012.08.011