excess loss variable (Left Truncated/shifted) : x-d | x>d ..

mean excess loss function: e(d)

Left Censored shifted: {x-d x>d, 0 x<= d
Limited loss variable X /\ u (right censored variable) : {x x<u, u x>=u
Hazard rate = fx|x>=a(a) = fx(a)/ ( 1-Fx(a) )
Right tail Tail weight: same mean
limit x->inf S1(x)/S2(x) = inf (S1 heavier tail)
limit f1(x)/f2(x) x->inf = inf : S1 has heavier right tail, x->-inf, S1 heavier left tail
h(f)(x) increasing, light tail … decreasing, heavy tail
mean excess loss function decreasing, light tail … increasing, heavy tail
mean excess loss function = int S(x)/S(d), x=d..inf
Equilibrium distribution (when X>=0) : S(x)/E(X) x>=0
Value-at-Risk = the 100pth quantile
Tail-Value-at-Risk = E(X | X >= quantile(p) ) = Qp + e(p)
Scale parameter: Y = aX, then t2 = a*t, and all other parameters remain unchanged
k-point mixture : a mixture of k distributions with k constants
variable-component mixture : a mixture of a variable amount of constants
X^t t>0 : transformed distribution .. X^t t=-1 : inverse .. X^t t<0 : inverse transformed
Franchise deductable : Y = {0, X<=d … X, X>d
Loss elimination ratio = ( E(X) – E(X with deductible d) ) / E(X)
Cost per loss after inflation : (1+r) (E[X] – E[X /\ (d/(1+r)) )
Policy Limit : X /\ d
Var S -> 0 => S consistent (if asymptotically unbiased)
MSE = E[( S – theta )^2] = var(S) + Bias ^2
Bias = E[S] – E[theta]
Cumulative hazard rate function – H(x) = -ln S(x)
Ogive : empirical distribution for grouped data ; histogram : its derivative
Risk set : the set of observations : rj = number of observations greater than or equal to yj
(includes those censored from above)

Kaplan-Meier product-estimate – directly estimate survival function

Nelson-Aelon estimate – try and estimate cumulative hazard function ..
S(x) = exp( -H(x) ) where H is the cumulative hazard function
H(y) = sum ( p(x | x < X), x = yi .. Y)
Var(Sn(x)) =. Sn(x) * (1- Sn(x)) /n .. this is the variance of the empirical estimate Sn(x)
which is an unbiased estimate of S(x)

Posterior distribution – conditional probability of parameters given the data

Predictive distribution – conditional probability of a new observation given the data
Loss function : E[(x-S)^2]
Greenwoods approximation pg 357

Hypothetical mean mu(theta) actual Individual premium , also called credibility premium =
E[ Y | Theta ] (Theta is unobservable, so approximate with an expected value depending
on observances of X)
Bayesian premium = E[ Y | X ]
Collective premium ( Manual premium / Pure premium) = E[Y]

Buhlmann model:
Process variance = variance of individuals claim’s … v(theta) = var(Y | Theta)
a = variance of what we are interested in
v = mean of the process variance

TESTS
Kolmogorov-Smirnov test : max |Fn(x)-F*(x)| (maximum error of model compared to
empirical)
.1 : 1.22/sqr(n) ; .05 : 1.36/sqr(n) : .01 : 1.63/sqr(n)
Anderson-Darling test : n * int( (Fn-F*)/p* (1-p)* f*, x=t..u)
.1 : 1.933 ; .05 : 2.492 ; .01 : 3.857