Corrections and comments for
Loss Models: From Data to Decisions
, 3
rd
edition
Text
Page 28, Exercise 3.16
–
Change the last sentence to “Determine the empirical skewness
coefficient for a single claim.”
Page 48, Example 3.17
–
The correct parameters for the Pareto model are 150 and 2.5.
The
Pareto numbers in Table 3.1 are 226.78, 796.44, and 2,227.34.
Page 49,
Example 3.18
–
Making the same adjustments as for the previous example:
1/
1/2.5
1
1.5
(
)
(1
)
1
150 (1 0.999)
1
2,227.34
150
(
)
100
1
1.5
150
150
(
)
1
1
98.4151
1
1.5
2,227.34 150
(
)
(
)
(
)
2,22
1
pp
p
p
p
VaR X
p
EX
E X
E X
TVaR X
p
100
98.4151
7.34
3,812.24
0.001
Page 83, third line from bottom
–
The derivative should be with respect to
, that is
( ; )
Sx
Page 98, Balkema
–
de Haan
–
Pickands Theorem
–
The Theorem refers to distribution function
2,
,
d
W
but that function was not defined.
It is
2, ,
1
, 0
,
0,
0.
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 Spring '10
 NA
 Standard Deviation, Variance, Mean, Exponential distribution

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